Bounded solutions, L^p (p > 1) solutions and L^1 solutions for one dimensional BSDEs under general assumptions

DOI10.1016/J.SPA.2015.11.012zbMATH Open1335.60087arXiv1508.02501OpenAlexW1955263916MaRDI QIDQ265654FDOQ265654

Authors: Shengjun Fan 

Publication date: 4 April 2016

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

Abstract: This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p(p>1)$ solutions and $L^1$ solutions of the BSDEs. The time horizon is allowed to be finite or infinite, and the generator $g$ is allowed to have a general growth in $y$ and a quadratic growth in $z$. As compensation, the generator $g$ needs to satisfy a kind of one-sided linear or super-linear growth condition in $y$, instead of the monotonicity condition in $y$ as is usually done. Many of our results improve virtually some known results, even though for the case of the finite time horizon and the case of the $L^2$ solution.

Full work available at URL: https://arxiv.org/abs/1508.02501

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zbMATH Keywords

backward stochastic differential equationscomparison theoremexistenceuniqueness\(L^p\) solutionbounded solutioninfinite time interval

Mathematics Subject Classification ID

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

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