Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient

DOI10.1016/S1631-073X(02)02542-6zbMath1017.60068MaRDI QIDQ1565878

Etienne Pardoux, Khaled Bahlali, Mohammed Hassani, El Hassan Es-Saky

Publication date: 27 May 2003

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

Related Items

One dimensional BSDEs with logarithmic growth application to PDEs, Stochastic optimal control and BSDEs with logarithmic growth, General existence results for reflected BSDE and BSDE, Necessary and sufficient conditions for near-optimal harvesting control problem of stochastic age-dependent system, Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs, Existence and uniqueness results for BSDE with jumps: the whole nine yards, Perturbed backward stochastic differential equations, Backward doubly stochastic differential equations with a superlinear growth generator, BSDE driven by Poisson point processes with discontinuous coefficient, A note on FBSDE characterization of mean exit times, Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients, A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients, Anticipated Backward Stochastic Differential Equation with Reflection, Backward doubly SDEs and SPDEs with superlinear growth generators, Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Backward stochastic differential equations: The locally Lipschitz case
• Backward stochastic differential equations with continuous coefficient
• On solutions of backward stochastic differential equations with jumps and applications
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• BSDEs with polynomial growth generators
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward Stochastic Differential Equations with Jumps involving a subdifferential operator
• Some generic properties in backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with locally Lipschitz coefficient
• Infinite dimensional BSDE with jumps
• Backward stochastic differential equation with local time
• Multivalued backward stochastic differential equations with local lipschitz drift
• Backward Stochastic Differential Equations in Finance
• Existence for BSDE with superlinear–quadratic coefficient
• On a general result for backward stochastic differential equations
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient