On backward stochastic differential equations and strict local martingales

DOI10.1016/J.SPA.2012.03.003zbMATH Open1272.60038OpenAlexW1999187361MaRDI QIDQ429279FDOQ429279

Authors Hao Xing

Publication date 19 June 2012

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

Full work available at URL https://arxiv.org/abs/1105.2973

zbMATH Keywords

backward stochastic differential equationcomparison theoremviscosity solutionstrict local martingale

Mathematics Subject Classification ID

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

Abstract: We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in $z$. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are $mathbb{L}^p$ integrable for any $0<p<1$. These two different BSDE solutions generate different viscosity solutions to the associated quasi-linear partial differential equation. On the contrary, when a Lyapunov function exists, the local martingale is a martingale and the quasi-linear equation admits a unique viscosity solution of at most linear growth.

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Cited in

(7)

• On the stability theorem of \(L^{p}\) solutions for multidimensional BSDEs with uniform continuity generators in \(z\)
• Market viability and martingale measures under partial information
• Limit theorems for BSDE with local time applications to non-linear PDE
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• On \(g\)-expectations and filtration-consistent nonlinear expectations
• Splitting multidimensional BSDEs and finding local equilibria

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