BSE's, BSDE's and fixed-point problems

DOI10.1214/16-AOP1149zbMATH Open1425.60054arXiv1410.1247OpenAlexW2606675745MaRDI QIDQ682248FDOQ682248

Patrick Cheridito, Kihun Nam

Publication date: 14 February 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper, we introduce a class of backward stochastic equations (BSEs) that extend classical BSDEs and include many interesting examples of generalized BSDEs as well as semimartingale backward equations. We show that a BSE can be translated into a fixed point problem in a space of random vectors. This makes it possible to employ general fixed point arguments to find solutions. For instance, Banach's contraction mapping theorem can be used to derive general existence and uniqueness results for equations with Lipschitz coefficients, whereas Schauder-type fixed point arguments can be applied to non-Lipschitz equations. The approach works equally well for multidimensional as for one-dimensional equations and leads to results in several interesting cases such as equations with path-dependent coefficients, anticipating equations, McKean-Vlasov type equations and equations with coefficients of superlinear growth.

Full work available at URL: https://arxiv.org/abs/1410.1247

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zbMATH Keywords

backward stochastic differential equationanticipating equationsbackward stochastic equationcoefficients of superlinear growthMcKean-Vlasov-type equationspath-dependent coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fixed-point theorems (47H10)

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