Existence of solution to scalar BSDEs with L( 2(1+L))-integrable terminal values

DOI10.1214/18-ECP127MaRDI QIDQ1748581zbMATH OpenFDO

Authors Ying Hu, Shanjian Tang

Publication date 11 May 2018

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ecp/1524881135

zbMATH Keywords

\(L\exp\left(\sqrt{{2}{\lambda}\log(1+L)}\right)\) integrabilitybackward stochastic differential equationdual representationterminal condition

Mathematics Subject Classification ID

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

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Cites work

• L^p solutions of backward stochastic differential equations.
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with continuous coefficient
• BSDE with quadratic growth and unbounded terminal value
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

Cited in

(15)

• Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
• Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
• Uniqueness of solution to scalar BSDEs with \(L\exp\left(\mu_0\sqrt{2\log(1+L)}\right)\)-integrable terminal values: an \(L^1\)-solution approach
• Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs
• Optimal stopping under g-Expectation with -integrable reward process
• BSDEs with stochastic Lipschitz condition: a general result
• \(L^p\)-estimate for linear forward-backward stochastic differential equations
• L^1 solution to scalar BSDEs with logarithmic sub-linear growth generators
• One dimensional BSDEs with critical integrable terminal values and infinite time horizon
• Scalar BSDEs of iterated-logarithmically sub-linear generators with integrable terminal values
• L^p-estimate for mean-field type FBSDEs
• Well-posedness of scalar BSDEs with sub-quadratic generators and related PDEs

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