L^p-variational solutions of multivalued backward stochastic differential equations

DOI10.1051/COCV/2021083MaRDI QIDQ3383299zbMATH OpenOpenAlexWikidataFDO

Authors Lucian Maticiuc, Aurel Răşcanu

Publication date 23 September 2021

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1910.09977

zbMATH Keywords

backward stochastic differential equationsstochastic variational inequalitiessubdifferential operators\(p\)-integrable data

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) (L^p)-limit theorems (60F25)

Abstract: The aim of the paper is to prove the existence and uniqueness of the $L^p$--variational solution, with $p>1,$ of the following multivalued backward stochastic differential equation with $p$--integrable data: �egin{equation*} left{ �egin{array}[c]{l} -dY_{t}+partial_{y}Psi(t,Y_{t})dQ_{t} i H(t,Y_{t},Z_{t})dQ_{t}-Z_{t}dB_{t},;0leq t< au,\[0.1cm] Y_{ au}=eta, end{array} ight. end{equation*} where $au$ is a stopping time, $Q$ is a progresivelly measurable increasing continuous stochastic process and $partia{l}_{y}Psi$ is the subdifferential of the convex lower semicontinuous function $ymapstoPsi(t,y).$

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Cited in

(7)

• Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition
• Backward stochastic variational inequalities on random interval
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS
• On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
• \(L^p\) solutions to multidimensional backward stochastic differential equations with uniformly continuous generators
• Multivalued backward stochastic differential equations with oblique subgradients

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