On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions: the certain exponential moment case

TL;DR

This paper establishes existence and uniqueness of solutions for quadratic backward stochastic differential equations with unbounded terminal conditions and non-convex generators, under exponential moment assumptions, extending previous results.

Contribution

It generalizes prior work by allowing generators as uniformly continuous perturbations of convex or concave functions with quadratic growth, including critical cases.

Findings

Proves existence and uniqueness under exponential moment conditions.

Extends results to non-convex generators with quadratic growth.

Addresses critical cases strengthening earlier theorems.

Abstract

With the terminal value $|\xi|$ admitting some given exponential moment, we put forward and prove several existence and uniqueness results for the unbounded solutions of quadratic backward stochastic differential equations whose generators may be represented as a uniformly continuous (not necessarily locally Lipschitz continuous) perturbation of some convex (concave) function with quadratic growth. These results generalize those posed in \cite{Delbaen 2011} and \cite{Fan-Hu-Tang 2020} to some extent. The critical case is also tackled, which strengthens the main result of \cite{Delbaen 2015}.