Cheridito, Patrick; Stadje, Mitja - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1540-1565
We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not make growth assumptions with respect to z. We first show the existence of a unique solution (Y,Z) with bounded Z if...
