On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: The critical case

Freddy  Delbaen; Ying  Hu; Adrien  Richou

doi:10.3934/dcds.2015.35.5273

Article Contents

2015, Volume 35, Issue 11: 5273-5283. Doi: 10.3934/dcds.2015.35.5273

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: The critical case

1.
Department of Mathematics, ETH-Zentrum, HG G 54.3, CH-8092 Zürich
2.
IRMAR, Université Rennes 1, Campus de Beaulieu, F-35042 Rennes Cedex
3.
Univ. Bordeaux, IMB, UMR 5251, F-33400 Talence

Received: February 28, 2013

Revised: February 28, 2014

Published: October 2015

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Abstract

In F. Delbaen, Y. Hu and A. Richou (Ann. Inst. Henri Poincaré Probab. Stat. 47(2):559--574, 2011), the authors proved that uniqueness of solution to quadratic BSDE with convex generator and unbounded terminal condition holds among solutions whose exponentials are $L^p$ with $p$ bigger than a constant $\gamma$ ($p>\gamma$). In this paper, we consider the critical case: $p=\gamma$. We prove that the uniqueness holds among solutions whose exponentials are $L^\gamma$ under the additional assumption that the generator is strongly convex. These exponential moments are natural as they are given by the existence theorem.

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Mathematics Subject Classification: 60H10.

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