BSDEs with terminal conditions that have bounded Malliavin derivative

DOI10.1016/J.JFA.2013.12.004MaRDI QIDQ2452450zbMATH OpenOpenAlexFDO

Authors Patrick Cheridito, Kihun Nam

Publication date 3 June 2014

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.1089

zbMATH Keywords

backward stochastic differential equationDirichlet boundary conditionforward-backward stochastic differential equationMalliavin derivativeNeumann boundary conditionsemilinear parabolic PDEviscosity solution

Mathematics Subject Classification ID

Semilinear parabolic equations (35K58) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We show existence and uniqueness of solutions to BSDEs of the form ${\displaystyle }$ Y_t = xi + int_t^T f(s,Y_s,Z_s)ds - int_t^T Z_s dW_s${\displaystyle }$ in the case where the terminal condition $xi$ has bounded Malliavin derivative. The driver $f(s,y,z)$ is assumed to be Lipschitz continuous in $y$ but only locally Lipschitz continuous in $z$. In particular, it can grow arbitrarily fast in $z$. If in addition to having bounded Malliavin derivative, $xi$ is bounded, the driver needs only be locally Lipschitz continuous in $y$. In the special case where the BSDE is Markovian, we obtain existence and uniqueness results for semilinear parabolic PDEs with non-Lipschitz nonlinearities. We discuss the case where there is no lateral boundary as well as lateral boundary conditions of Dirichlet and Neumann type.

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Cited in

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