Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(\mu sqrt(2log(1+L)))}-integrable terminal values and monotonic generators

MaRDI QIDQ6316099zbMATH OpenFDO

Authors Hun O, M. C. Kim, Chol-Gyu Pak

Publication date 23 March 2019

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Stochastic integrals (60H05)

Abstract: This paper considers a class of scalar backward stochastic differential equations (BSDEs) with $Lexp(musqrt2log(1+L))$-integrable terminal values. We associate these BSDEs with BSDEs with integrable parameters through Girsanov change. Using this technique, we prove uniqueness, comparisons and stability for them under an extended monotonicity condition (more precisely one sided Osgood condition).

This page was built for publication: Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(\mu sqrt(2log(1+L)))}-integrable terminal values and monotonic generators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6316099)