Stochastic Bihari inequality and applications to BSDE

DOI10.1016/J.JMAA.2022.126204zbMATH Open1490.60173OpenAlexW4221029554MaRDI QIDQ2124691FDOQ2124691

Authors: Hun O, M. C. Kim, Kon-Gun Kim 

Publication date: 11 April 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126204

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zbMATH Keywords

backward stochastic differential equationsuperlinearquadratic growthBihari inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inequalities involving derivatives and differential and integral operators (26D10) Other nonlinear integral equations (45G10)

Cites Work

• BSDE with quadratic growth and unbounded terminal value
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Generalization of a retarded Gronwall-like inequality and its applications
• A retarded Gronwall-like inequality and its applications
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• Existence for BSDE with superlinear–quadratic coefficient
• Title not available (Why is that?)
• A generalized retarded Gronwall-like inequality in two variables and applications to BVP
• Stochastic differential equations, backward SDEs, partial differential equations
• A class of stochastic Gronwall's inequality and its application
• A stochastic Gronwall inequality in random time horizon and its application to BSDE
• A powered Gronwall-type inequality and applications to stochastic differential equations
• A new multinomial nonlinear integral inequality involving a generalization of the Bihari type inequality

Cited In (3)

• Ergodic BSDEs under weak dissipative assumptions
• Fenchel-Moreau Conjugation Inequalities with Three Couplings and Application to Stochastic Bellman Equation
• Moment inequality and Hölder inequality for BSDEs

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