BSDEs with stochastic Lipschitz condition: a general result

DOI10.3934/PUQR.2023011OpenAlexW4382280683MaRDI QIDQ6090958FDOQ6090958

Authors: Xinying Li, Yuru Lai, Shengjun Fan 

Publication date: 21 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2023011

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zbMATH Keywords

backward stochastic differential equationcomparison theoremexistence and uniquenessstochastic Lipschitz condition

Mathematics Subject Classification ID

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

Cites Work

• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• BSDE with quadratic growth and unbounded terminal value
• Utility maximization in incomplete markets
• Adapted solution of a backward stochastic differential equation
• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
• Title not available (Why is that?)
• \(L^p\) \((p\geq 1)\) solutions of multidimensional BSDEs with monotone generators in general time intervals
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• On the Burkholder-Davis-Gundy inequalities for continuous martingales
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• Stochastic differential equations, backward SDEs, partial differential equations
• Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
• Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
• Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
• General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

Cited In (4)

• Continuous dependence properties on solutions of backward stochastic differential equation
• Generalized BSDE for Lévy processes under stochastic monotone conditions
• Stochastic Bihari inequality and applications to BSDE
• \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition

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