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paper

BSDE with quadratic growth and unbounded terminal value

arXiv:math/0504002 · doi:10.1007/s00440-006-0497-0

Abstract

In this paper, we study the existence of solution to BSDE with quadratic growth and unbounded terminal value. We apply a localization procedure together with a priori bounds. As a byproduct, we apply the same method to extend a result on BSDEs with integrable terminal condition.