Paper detail

Quadratic BSDEs with $\mathbb{L}^2$--terminal data Existence results, Krylov's estimate and Itô--Krylov's formula

In a first step, we establish the existence (and sometimes the uniqueness) of solutions for a large class of quadratic backward stochastic differential equations (QBSDEs) with continuous generator and a merely square integrable terminal condition. Our approach is different from those existing in the literature. Although we are focused on QBSDEs, our existence result also covers the BSDEs with linear growth, keeping $ξ$ square integrable in both cases. As byproduct, the existence of viscosity solutions is established for a class of quadratic partial differential equations (QPDEs) with a square integrable terminal datum. In a second step, we consider QBSDEs with measurable generator for which we establish a Krylov's type a priori estimate for the solutions. We then deduce an Itô--Krylov's change of variable formula. This allows us to establish various existence and uniqueness results for classes of QBSDEs with square integrable terminal condition and sometimes a merely measurable generator. Our results show, in particular, that neither the existence of exponential moments of the terminal datum nor the continuity of the generator are necessary to the existence and/or uniqueness of solutions for quadratic BSDEs. Some comparison theorems are also established for solutions of a class of QBSDEs.