L^1 solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions

DOI10.1214/19-EJP345zbMATH Open1466.60117arXiv1706.00966OpenAlexW2972589786MaRDI QIDQ2274207FDOQ2274207

Authors: Shengjun Fan 

Publication date: 19 September 2019

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

Abstract: We establish several existence, uniqueness and comparison results for $L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator $g$ satisfies a one-sided Osgood condition together with a very general growth condition in $y$, a uniform continuity condition and/or a sub-linear growth condition in $z$, and a generalized Mokobodzki condition which relates the growth of $g$ and that of the barriers. This generalized Mokobodzki condition is proved to be necessary for existence of $L^1$ solutions of the reflected BSDEs. We also prove that the $L^1$ solutions of reflected BSDEs can be approximated by the penalization method and by some sequences of $L^1$ solutions of reflected BSDEs. These results strengthen some existing work on the $L^1$ solutions of non-reflected BSDEs and reflected BSDEs.

Full work available at URL: https://arxiv.org/abs/1706.00966

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zbMATH Keywords

comparison theoremexistence and uniquenessreflected backward stochastic differential equationstability theorem\(L^1\) solution

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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Cited In (5)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators

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