A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator

DOI10.1007/S10255-006-6157-4MaRDI QIDQ942895zbMATH OpenOpenAlexFDO

Authors Yu-Chun Liu, Long Jiang, Yingying Xu

Publication date 8 September 2008

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-006-6157-4

zbMATH Keywords

backward stochastic differential equationlocal limit theoremMao's non-Lipschitz generator

Mathematics Subject Classification ID

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

Recommendations

• Backward stochastic differential equations driven by continuous local martingale under non-Lipschitz condition
• Backward stochastic differential equations with non-Lipschitz coefficients
• The solutions of BSDEs driven by continuous semi-martingales under non-Lipschitz conditions
• The limitation theorem of \(g\)-supersolution for BSDEs under non-Lipschitzian coefficient
• Minimal solution of BSDEs driven by continuous local martingales under non-Lipschitz condition

Cites work

• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Limit theorem and uniqueness theorem of backward stochastic differential equations

Cited in

(3)

• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• Representation theorems for generators of BSDEs with monotonic and convex growth generators

This page was built for publication: A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q942895)