L^p solutions of multidimensional BSDEs with weak monotonicity and general growth generators

DOI10.1016/J.JMAA.2015.06.049MaRDI QIDQ495173zbMATHOpenAlexFDO

Authors Shengjun Fan

Publication date 9 September 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.5005

zbMATH Keywords

backward stochastic differential equationcomparison theorem\(L^p\) solutionstability theoremweak monotonicity condition

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: In this paper, we first establish the existence and uniqueness of $L^p(p>1)$ solutions for multidimensional backward stochastic differential equations (BSDEs) under a weak monotonicity condition together with a general growth condition in $y$ for the generator $g$. Then, we overview several conditions related closely to the weak monotonicity condition and compare them in an effective way. Finally, we put forward and prove a stability theorem and a comparison theorem of $L^p(p>1)$ solutions for this kind of BSDEs.

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Cited in

(30)

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