L^p solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions

DOI10.1080/17442508.2015.1052810MaRDI QIDQ2803517zbMATHOpenAlexFDO

Authors Feng Hu, Zengjing Chen

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)

Recommendations

• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• \(L^{p} (p>1)\) solutions of backward stochastic differential equations with monotonic and uniformly continuous generators

Cites work

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

Cited in

(8)

• Anticipated backward stochastic differential equations with left-Lipschitz coefficient
• A novel Speckle noise removal algorithm based on ADMM and energy minimization method
• scientific article; zbMATH DE number 7572906 (Why is no real title available?)
• L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators
• The minimal solution of a special anticipated backward stochastic differential equation
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• 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

This page was built for publication: \(L^p\) solutions 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)