Abstract
We provide existence, comparison and stability results for one- dimensional backward stochastic differential equations (BSDEs) when the coefficient (or generator) $F(t,Y, Z)$ is continuous and has a quadratic growth in $Z$ and the terminal condition is bounded.e also give, in this framework, the links between the solutions of BSDEs set on a diffusion and viscosity or Sobolev solutions of the corresponding semilinear partial differential equations.
Citation
Magdalena Kobylanski. "Backward stochastic differential equations and partial differential equations with quadratic growth." Ann. Probab. 28 (2) 558 - 602, April 2000. https://doi.org/10.1214/aop/1019160253
Information