Second-order backward stochastic differential equations under a monotonicity condition

DOI10.1016/J.SPA.2013.01.002MaRDI QIDQ1947592zbMATH OpenOpenAlexFDO

Authors Dylan Possamaï

Publication date 22 April 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1049

zbMATH Keywords

monotonicity conditionssecond-order backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In a recent paper, Soner, Touzi and Zhang [20] have introduced a notion of second order backward stochastic differential equations (2BSDEs for short), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables $y$ and $z$. The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in $y$. More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in $z$ and uniformly continuous with linear growth in $y$. Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework.

Review text

The aim of this paper is to extend to the case of a generator satisfying a monotonicity condition starting with a recent paper of \textit{H. M. Soner} et al. [Probab. Theory Relat. Fields 153, No. 1--2, 149--190 (2012; Zbl 1252.60056)] related to second-order backward stochastic differential equations.

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Cited in

(16)

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• Stochastic control for a class of nonlinear kernels and applications
• Infinite horizon BSDEs under consistent nonlinear expectations
• Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
• Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
• Second order backward SDE with random terminal time
• Representation of solutions to 2BSDEs in an extended monotonicity setting
• Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
• Second-order BSDE under monotonicity condition and liquidation problem under uncertainty
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• Second order backward stochastic differential equations with quadratic growth
• Second order reflected backward stochastic differential equations
• Reflected backward stochastic differential equations driven by G-Brownian motion under monotonicity condition
• Representation of solutions to quadratic 2BSDEs with unbounded terminal values
• Doubly reflected backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
• Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion

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