Harmonic analysis of stochastic equations and backward stochastic differential equations (Q843710): Difference between revisions

The paper studies general stochastic differential equations (SDEs) and backward stochastic differential equations (BSDEs) which are driven by a continuous local martingale \(M\) and whose drift is governed by the joint quadratic variation process of continuous local martingales. For this the authors use the theory of BMO martingales extensively, where the probabilistic version of Fefferman's inequality on BMO martingales plays a crucial role. While in the literature general existence and uniqueness results for SDEs driven by a semi-martingale concern solutions \(X\) with \(X_T^*=\sup_{t\in[0,T]}|X_t|\in \bigcup_{p\geq 1}L^p,\) the authors of the present paper obtain new sufficient conditions for the existence and uniqueness of a solution \(X\) with \(X_T^*\in L^p\) for some a priori fixed \(p\in[1,+\infty)\). These conditions are, in particular, more general than, e.g., those given by \textit{Ph. E. Protter} [Stochastic integration and differential equations. 2nd ed. Applications of Mathematics 21. Berlin: Springer (2004; Zbl 1041.60005)], allowing the coefficients to be unbounded. Also for general nonlinear BSDEs new results for the existence and uniqueness of solutions \((Y,Z\circ M,M^\bot)\) with \(Y_T^*+\langle Z\circ M\rangle_\infty^{1/2}+\langle M^\bot\rangle_\infty^{1/2}\in L^p\) (for an a priori given \(p\in[1,+\infty)\)) are obtained under some suitable sliceability in the BMO space of the coefficients. The critical case \(p=\infty\) is studied separately by the authors. In a third section the authors investigate linear SDEs and BSDEs with unbounded coefficients. The existence and uniqueness is linked to the property that the elementary solutions-matrix for the associated homogeneous SDE satisfies the reverse Hölder inequality property for some suitable \(p\geq 1\). Finally, some relations are established between Kazamaki's quadratic critical exponent \(b(M)\) of a BMO martingale \(M\) and the spectral radius of the stochastic integral operator with respect to \(M\) which lead to a characterization of Kazamaki's quadratic critical exponent of BMO martingales being infinite.