Lpsolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions

DOI10.1080/17442508.2015.1052810zbMATH Open1337.60122OpenAlexW2409641840MaRDI QIDQ2803517FDOQ2803517

Zengjing Chen, Feng Hu

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1052810

zbMATH Keywords

comparison theoremanticipated backward stochastic differential equationsmonotonicity condition\(L^p\)-solutions

Mathematics Subject Classification ID

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

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Anticipated backward stochastic differential equations
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• On the comparison theorem for multidimensional BSDEs
• \(L^p\) solutions of backward stochastic differential equations.
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations
• Backward SDEs with two barriers and continuous coefficient: an existence result
• A converse comparison theorem for anticipated BSDEs and related non-linear expectations
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)

Cited In (7)

• Title not available (Why is that?)
• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• Anticipated backward stochastic differential equations and their applications to zero-sum stochastic differential games
• \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators
• A novel Speckle noise removal algorithm based on ADMM and energy minimization method

This page was built for publication: L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2803517)