Applied Mathematics Seminar 10: A type of globally solvable BSDEs with triangularly quadratic generators

Abstract: In this talk, we will consider the well-posedness of a type of BSDEs with triangularly quadratic generators. This work is motivated by the recent results obtained by Hu and Tang and Xing and Zitkovic. By the contraction mapping argument, we first prove that this type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. Under additional assumptions, we build the global solution on the whole time interval by stitching local solutions. Finally, we give solvability results when the generators have path dependence in value process.