\(L^p\)-estimate for linear forward-backward stochastic differential equations (Q6113754)
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scientific article; zbMATH DE number 7710153
Language | Label | Description | Also known as |
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English | \(L^p\)-estimate for linear forward-backward stochastic differential equations |
scientific article; zbMATH DE number 7710153 |
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\(L^p\)-estimate for linear forward-backward stochastic differential equations (English)
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11 July 2023
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This paper is concerned with coupled linear forward-backward stochastic differential equations. When the homogeneous coefficients are deterministic (the non-homogeneous coefficients can be random), the authors obtain an \(L^p\)-result \((p>2)\), including the existence and uniqueness of the \(p\)-th power integrable solution, a \(p\)-th power estimate, and a related continuous dependence property of the solution on the coefficients, for coupled linear forward-backward stochastic differential equations in the monotonicity framework over large time intervals. In order to get rid of the stubborn constraint commonly existing in the literature, i.e., the Lipschitz constant of \(\sigma\) with respect to \(z\) is very small, the authors introduce a linear transformation to overcome the difficulty on small intervals, and then ``splice'' the obtained \(L^p\)-results on many small intervals to yield the desired one on a large interval.
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forward-backward stochastic differential equation
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\(L^p\)-estimate
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monotonicity condition
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large interval
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