Abstract
We study BSDE where the driver is pathwise quadratically bounded. The associated utility function is always a solution but even in the class of Markovian solutions uniqueness is not guaranteed. we relate the problem to problems for quasi-linear parabolic PDE.
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Bao, X., Delbaen, F., Hu, Y. (2010). Existence and Non-uniqueness of Solutions for BSDE. In: Chiarella, C., Novikov, A. (eds) Contemporary Quantitative Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-03479-4_7
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DOI: https://doi.org/10.1007/978-3-642-03479-4_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-03478-7
Online ISBN: 978-3-642-03479-4
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