Second-order backward stochastic differential equations under a monotonicity condition

DOI10.1016/J.SPA.2013.01.002zbMATH Open1282.60059arXiv1201.1049OpenAlexW1969913323MaRDI QIDQ1947592FDOQ1947592

Authors: Dylan Possamaï 

Publication date: 22 April 2013

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

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.

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

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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)

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