A New Result for Second Order BSDEs with Quadratic Growth and its Applications

TL;DR

This paper establishes solvability results for a class of second order backward stochastic differential equations with quadratic growth and explores their applications in robust utility maximization.

Contribution

It introduces new solvability results for 2BSDEs with quadratic growth and applies these findings to robust utility maximization problems.

Findings

Proved solvability of 2BSDEs with quadratic growth

Applied results to robust utility maximization

Extended understanding of 2BSDEs in financial mathematics

Abstract

In this paper, we study a class of second order backward stochastic differential equations (2BSDEs) with quadratic growth in coefficients. We first establish solvability for such 2BSDEs and then give their applications to robust utility maximization problems.