Abstract
We establish the existence and uniqueness of square integrable solutions for a class of one-dimensional quadratic backward stochastic differential equations (QBSDEs). This is done with a merely square integrable terminal condition, and in some cases with a measurable generator. This shows, in particular, that neither the existence of exponential moments for the terminal condition nor the continuity of the generator are needed for the existence and/or uniqueness of solutions for quadratic BSDEs. These conditions are used in the previous papers on QBSDEs. To do this, we show that Itôʼs formula remains valid for functions having a merely locally integrable second (generalized) derivative. A comparison theorem is also established.
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