A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications

DOI10.1016/j.spl.2017.06.014zbMath1386.60207arXiv1701.03870OpenAlexW2577296667MaRDI QIDQ1687231

Lishun Xiao, Sheng-Jun Fan

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03870

zbMATH Keywords

representation theoremviscosity solutionbackward stochastic differential equationweak monotonicitygeneral growth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Semilinear parabolic equations (35K58)

Related Items (6)

Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs ⋮ Representation theorem and viability property for multidimensional BSDEs and their applications ⋮ Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations ⋮ Representation theorems of monotonicity generators for BSDEs via L^p (p > 1) solutions in general time intervals ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

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