Weak solutions of backward stochastic differential equations with continuous generator

DOI10.1016/J.SPA.2013.09.011MaRDI QIDQ2434508zbMATH OpenOpenAlexFDO

Authors Nadira Bouchemella, P. Raynaud De Fitte

Publication date 6 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.1192

zbMATH Keywords

backward stochastic differential equationsJakubowski's topologyjoint solution measureSkorokhod spaceweak solutionsYoung measure

Mathematics Subject Classification ID

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

Abstract: We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) ${\displaystyle }$ Y_t=xi+int_t^T f(s,X_s,Y_s,Z_s),ds-int_t^T Z_s,dwien_s${\displaystyle }$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to $z$, and satisfies a sublinear growth condition and a continuity condition This solution takes the form of a triplet $(Y,Z,L)$ of processes defined on an extended probability space and satisfying ${\displaystyle }$ Y_t=xi+int_t^T f(s,X_s,Y_s,Z_s),ds-int_t^T Z_s,dwien_s-(L_T-L_t)${\displaystyle }$ where $L$ is a continuous martingale which is orthogonal to any $wien$. The solution is constructed on an extended probability space, using Young measures on the space of trajectories. One component of this space is the Skorokhod space D endowed with the topology S of Jakubowski.

Recommendations

• On Weak Solutions of Backward Stochastic Differential Equations
• On the Continuity of Weak Solutions of Backward Stochastic Differential Equations
• \(L^{p} (p>1)\) solutions of backward stochastic differential equations with monotonic and uniformly continuous generators
• Lp solutions of BSDEs with weakly monotonic and uniformly continuous generators
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients

Cites work

• A non-Skorokhod topology on the Skorokhod space
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Existence of optimal controls for systems driven by FBSDEs
• Existence of Weak Solutions to Stochastic Evolution Inclusions
• scientific article; zbMATH DE number 3890417 (Why is no real title available?)
• scientific article; zbMATH DE number 3112450 (Why is no real title available?)
• scientific article; zbMATH DE number 4211139 (Why is no real title available?)
• scientific article; zbMATH DE number 3901738 (Why is no real title available?)
• scientific article; zbMATH DE number 4054723 (Why is no real title available?)
• scientific article; zbMATH DE number 3738653 (Why is no real title available?)
• scientific article; zbMATH DE number 19574 (Why is no real title available?)
• scientific article; zbMATH DE number 193631 (Why is no real title available?)
• scientific article; zbMATH DE number 3467467 (Why is no real title available?)
• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
• scientific article; zbMATH DE number 1558298 (Why is no real title available?)
• scientific article; zbMATH DE number 2134813 (Why is no real title available?)
• scientific article; zbMATH DE number 902686 (Why is no real title available?)
• scientific article; zbMATH DE number 3227597 (Why is no real title available?)
• scientific article; zbMATH DE number 3386006 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• New sequential compactness results for spaces of scalarly integrable functions
• On the Continuity of Weak Solutions of Backward Stochastic Differential Equations
• On the theorem of T. Yamada and S. Watanabe
• On Weak Solutions of Backward Stochastic Differential Equations
• Stopping times and tightness
• The almost sure Skorokhod representation for subsequences in nonmetric spaces
• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
• Tightness criteria for laws of semimartingales
• Weak and strong solutions of stochastic differential equations
• Weak existence and uniqueness for forward-backward SDEs
• Weak solutions and a Yamada–Watanabe theorem for FBSDEs
• Weak solutions for forward-backward SDEs-a martingale problem approach
• Weak Solutions for Semi-Martingales
• Weak Solutions of Forward–Backward SDE's

Cited in

(3)

• On the Continuity of Weak Solutions of Backward Stochastic Differential Equations
• Existence of a weak solution to a Markovian BSDE with discontinuous coefficients
• Existence of optimal controls for systems of controlled forward-backward doubly SDEs

This page was built for publication: Weak solutions of backward stochastic differential equations with continuous generator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434508)