One-dimensional BSDEs with finite and infinite time horizons

DOI10.1016/J.SPA.2010.11.008MaRDI QIDQ550145zbMATHOpenAlexFDO

Authors Long Jiang, Shengjun Fan, Dejian Tian

Publication date 8 July 2011

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

Full work available at URL https://doi.org/10.1016/j.spa.2010.11.008

zbMATH Keywords

backward stochastic differential equationcomparison theoremexistence and uniquenessuniformly continuous generatormonotonic generator

Mathematics Subject Classification ID

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

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Cites work

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• A comparison theorem for solutions of backward stochastic differential equations.
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• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• BSDE with quadratic growth and unbounded terminal value
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with continuous coefficient
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Stochastic Hamilton–Jacobi–Bellman Equations
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(24)

• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
• BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
• \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition
• BSDEs with jumps and finite or infinite time horizon
• A class of stochastic Gronwall's inequality and its application
• One-dimensional reflected backward stochastic differential equations with finite or infinite time horizons and continuous generators
• scientific article; zbMATH DE number 7308183 (Why is no real title available?)
• Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
• \(L^p\) \((p\geq 1)\) solutions of multidimensional BSDEs with monotone generators in general time intervals
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• \(L^p\)-solutions of multi-dimensional oblique reflected BSDEs and optimal switching problem on finite or infinite time horizon
• Multidimensional BSDEs with weak monotonicity and general growth generators
• \(L^p\) solutions for general time interval multidimensional BSDEs with weak monotonicity and general growth generators
• A generalized comparison theorem for BSDEs and its applications
• One dimensional BSDEs with critical integrable terminal values and infinite time horizon
• Penalization approach to one-dimensional reflected backward stochastic differential equations with finite or infinite time horizons and continuous generators
• One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
• General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general \(g\)-supermartingales
• Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• Strategic trading with information acquisition and long-memory stochastic liquidity

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