A class of BSDE with integrable parameters

DOI10.1016/J.SPL.2010.09.009MaRDI QIDQ613205zbMATHOpenAlexFDO

Authors Dequn Liu, Shengjun Fan

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.09.009

zbMATH Keywords

backward stochastic differential equationexistence and uniqueness[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+continuous&go=Go H��lder continuous]integrable parameters

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A uniqueness theorem for the solution of backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Backward stochastic differential equations with continuous coefficient
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(12)

• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Properties of solutions of BSDEs with integrable parameters
• One-dimensional BSDEs with monotonic, Hölder continuous and integrable parameters
• Integrable solutions to BSDEs with quasi-Hölder continuous generators
• scientific article; zbMATH DE number 7308183 (Why is no real title available?)
• Scalar BSDEs of iterated-logarithmically sub-linear generators with integrable terminal values
• BSDEs with uniformly continuous generators and integrable parameters
• \(L^p\) \((p\geq 1)\) solutions of multidimensional BSDEs with monotone generators in general time intervals
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
• 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

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