L p -solutions of backward stochastic differential equations with time-delayed generators

DOI10.1080/15326349.2026.2622668MaRDI QIDQ7305919zbMATH OpenFDO

Authors Yong Ren, Jean-Marc Owo, Auguste Aman

Publication date 30 July 2026

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2026.2622668

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Review text

This article tackles the problem of backward stochastic differential equations with delays in the generator, focusing on the case where the input data are only integrable to the \(p\)-th power (\(p>1\)). The key novelty is the derivation of refined estimates that make the smallness conditions on the Lipschitz constant \(K\) and the terminal time \(T\) fully explicit. To prove well-posedness, the authors utilize two separate strategies: a truncation/approximation method and a contraction-mapping (Picard) argument. The latter sharpens earlier work by simplifying the proof and providing a clearer convergence criterion. Crucially, by covering the range \(1 < p < 2\), the paper removes the standard square-integrability requirement. This relaxation accommodates important practical scenarios in finance and insurance where coefficients such as interest rates or risk premiums are inherently unbounded.

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