Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case

DOI10.1214/19-ECP254zbMath1422.60094MaRDI QIDQ2274111

Ying Hu, Sheng-Jun Fan

Publication date: 19 September 2019

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

Full work available at URL: https://projecteuclid.org/euclid.ecp/1568253711

zbMATH Keywords

critical caseexistence and uniquenessbackward stochastic differential equation\(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrability

Mathematics Subject Classification ID

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

Related Items (8)

Optimal stopping under g-Expectation with -integrable reward process ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ \(L^p\)-estimate for linear forward-backward stochastic differential equations ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ \( L^1\) solution to scalar BSDEs with logarithmic sub-linear growth generators ⋮ Unnamed Item ⋮ 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 ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting

Cites Work

• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
• BSDE with quadratic growth and unbounded terminal value
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• \(L^p\) \((p>1)\) solutions for one-dimensional BSDEs with linear-growth generators
• \(L^p\) solutions of backward stochastic differential equations.
• Backward Stochastic Differential Equations in Finance

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