RBSDEs with stochastic monotone and polynomial growth condition (Q938574)

From MaRDI portal
scientific article
Language Label Description Also known as
English
RBSDEs with stochastic monotone and polynomial growth condition
scientific article

    Statements

    RBSDEs with stochastic monotone and polynomial growth condition (English)
    0 references
    0 references
    0 references
    0 references
    26 August 2008
    0 references
    Existence and uniqueness of solutions of two problems are attacked in the paper: First a backward stochastic differential equation \(Y_t=\xi+\int_t^Tf(s,Y_s,Z_s)\,ds-\int_t^TZ_s\,dW_s\) with given data \((T,\xi,W)\) where \(T\) is the terminal time, \(\xi\) is the terminal state, \(W\) is a Brownian motion and \((Y,Z)\) are the unknowns, and, second, a reflected backward stochastic differential equation \(Y_t=\xi+\int_t^Tf(s,Y_s,Z_s)\,ds-\int_t^TZ_s\,dW_s+K_T-K_t\) with given data \((T,\xi,W)\) as above and the unknowns \((Y,Z,K)\). The reflection is realized through two additional conditions upon the solution: first \(Y\in Dom(\Phi)\) where \(\Phi\) is a given lower-semicontinuous and convex function, and, second, an integral condition connecting, in a specific way, the process \(K\) with the subdifferential of \(\Phi\). The drift function \(f=f(\omega,s,y,z)\) is assumed to be random, monotone in \(y\) and Lipschitz in \(z\).
    0 references
    backward stochastic differential equation
    0 references

    Identifiers