L^p solutions of BSDEs with a new kind of non-Lipschitz coefficients

DOI10.1007/S10255-019-0846-2zbMATH Open1456.60145arXiv1402.6773OpenAlexW2994992370WikidataQ126538135 ScholiaQ126538135MaRDI QIDQ2300511FDOQ2300511

Authors: Long Jiang, Shengjun Fan 

Publication date: 27 February 2020

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Abstract: In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) with a new kind of non-Lipschitz coefficients. We establish an existence and uniqueness result of solutions in $L^p(p>1)$, which includes some known results as its particular cases.

Full work available at URL: https://arxiv.org/abs/1402.6773

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zbMATH Keywords

backward stochastic differential equation\(L^p\) solutionnon-Lipschitz coefficientsMao's conditionConstantin's condition

Mathematics Subject Classification ID

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

Cites Work

• \(L^p\) solutions of backward stochastic differential equations.
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• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Title not available (Why is that?)

Cited In (18)

• Finite and infinite time interval BSDEs with non-Lipschitz coefficients
• Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
• Existence and uniqueness of the nonlinear BSDEs with a small parameter under locally Lipschitz condition
• \(L^p\)-solution of reflected generalized BSDEs with non-Lipschitz coefficients
• Comparison theorems for BSDEs with non-Lipschitz coefficients
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
• \(L^p\) solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
• Approximation of BSDE with non Lipschitz coefficient
• \(L^p\) solution of general mean-field BSDEs with continuous coefficients
• BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Existence and uniqueness of solutions on a class of BSDEs with non-Lipschitz coefficient
• \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
• Multidimensional backward stochastic differential equation with generators under \(\beta\)-order Mao's condition driven by \(G\)-Brownian motion
• \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients
• A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• Backward stochastic differential equations with non-Lipschitz coefficients

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