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

DOI10.1007/S10255-019-0846-2MaRDI QIDQ2300511zbMATH OpenOpenAlexWikidataFDO

Authors Long Jiang, Shengjun Fan

Publication date 27 February 2020

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

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

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)

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.

Recommendations

• Backward stochastic differential equations with non-Lipschitz coefficients
• \(L^p\) solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
• The solutions of BSDEs driven by continuous semi-martingales under non-Lipschitz conditions
• Finite and infinite time interval BSDEs with non-Lipschitz coefficients
• Existence and uniqueness of solutions on a class of BSDEs with non-Lipschitz coefficient

Cites work

• scientific article; zbMATH DE number 1341816 (Why is no real title available?)
• scientific article; zbMATH DE number 2098721 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations with continuous coefficient
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(18)

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

This page was built for publication: \(L^p\) solutions of BSDEs with a new kind of non-Lipschitz coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2300511)