BSDEs with stochastic Lipschitz condition: a general result

DOI10.3934/PUQR.2023011MaRDI QIDQ6090958zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

backward stochastic differential equationcomparison theoremexistence and uniquenessstochastic Lipschitz condition

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1066313 (Why is no real title available?)
• scientific article; zbMATH DE number 1563401 (Why is no real title available?)
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• Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values
• General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• On the Burkholder-Davis-Gundy inequalities for continuous martingales
• Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• Stochastic differential equations, backward SDEs, partial differential equations
• Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values
• Utility maximization in incomplete markets
• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
• \(L^p\) \((p\geq 1)\) solutions of multidimensional BSDEs with monotone generators in general time intervals

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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