Existence, uniqueness and stability of L^1 solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type

DOI10.1007/S10959-017-0755-3zbMATH Open1404.60080arXiv1701.04152OpenAlexW2602664897MaRDI QIDQ1800958FDOQ1800958

Authors: Shengjun Fan 

Publication date: 26 October 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We establish a general existence and uniqueness result of $L^1$ solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator $g$ satisfying a one-sided Osgood condition as well as a general growth condition in $y$, and a Lipschitz condition together with a sublinear growth condition in $z$, which improves some existing results. In particular, we put forward and prove a stability theorem of the $L^1$ solutions for the first time. A new type of $L^1$ solution is also investigated. Some delicate techniques involved in the relationship between convergence in $L^1$ and in probability and dividing appropriately the time interval play crucial roles in our proofs.

Full work available at URL: https://arxiv.org/abs/1701.04152

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zbMATH Keywords

backward stochastic differential equationexistence and uniquenessstability theorem\(L^1\) solutionone-sided Osgood condition

Mathematics Subject Classification ID

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

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Cited In (16)

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