One dimensional BSDEs with critical integrable terminal values and infinite time horizon

DOI10.1016/J.SYSCONLE.2024.105779MaRDI QIDQ6569407FDOQ6569407

Authors: Kazuki Adachi, Bin Xie 

Publication date: 9 July 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

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zbMATH Keywords

backward stochastic differential equationsinfinite time horizonGirsanov's theorem

Mathematics Subject Classification ID

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

Cites Work

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• Backward Stochastic Differential Equations in Finance
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• One-dimensional BSDEs with finite and infinite time horizons
• Stochastic differential equations, backward SDEs, partial differential equations
• Backward equations, stochastic control and zero-sum stochastic differential games
• \(L^{p}\) solutions of infinite time interval BSDEs and the corresponding \(g\)-expectations and \(g\)-martingales
• Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
• 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
• Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case
• Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs

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