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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

Freddy DelbaenYing HuAdrien Richou — 2011

Annales de l'I.H.P. Probabilités et statistiques

In [ (2008) 543–567], the authors proved the uniqueness among the solutions of quadratic BSDEs with convex generators and unbounded terminal conditions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman–Kac formula proved in [ ...

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