Quadratic BSDEs with rough drivers and $L^2$--terminal condition

TL;DR

This paper investigates the existence and uniqueness of solutions to quadratic backward stochastic differential equations with rough drivers and square integrable terminal conditions, connecting them to rough PDEs and fractional Brownian motion.

Contribution

It introduces a novel approach combining Doss-Sussman and Zvonkin transformations to analyze QBSDEs with rough drivers and establishes links to rough PDEs and fractional Brownian motion.

Findings

Proved existence and uniqueness of solutions for QBSDEs with rough drivers.

Connected QBSDEs to quadratic PDEs with rough drivers.

Extended results to fractional Brownian motion with Hurst > 1/4.

Abstract

In this paper, we study the existence and uniqueness of solutions to quadratic Backward Stochastic Differential Equations (QBSDEs for short) with rough driver and square integrable terminal condition. The main idea consists in using both Doss-Sussman and Zvonkin type transformations. As an application we study connection between QBSDEs and quadratic PDEs with rough drivers. We also obtain Backward Doubly SDEs and QBSDEs driven by Fractional Brownian with Hurst parameter greater than $\frac{1}{4}$ as particular cases of our QBSDEs with rough drivers. A probabilistic representation of a class of rough quadratic PDE is also proved.