{"paper":{"title":"Differentiability of quadratic BSDEs generated by continuous martingales","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.PR"],"primary_cat":"math.PR","authors_text":"Anja Richter, Anthony R\\'eveillac, Peter Imkeller","submitted_at":"2009-07-06T09:31:56Z","abstract_excerpt":"In this paper we consider a class of BSDEs with drivers of quadratic growth, on a stochastic basis generated by continuous local martingales. We first derive the Markov property of a forward--backward system (FBSDE) if the generating martingale is a strong Markov process. Then we establish the differentiability of a FBSDE with respect to the initial value of its forward component. This enables us to obtain the main result of this article, namely a representation formula for the control component of its solution. The latter is relevant in the context of securitization of random liabilities aris"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"0907.0941","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}