\(L^p\) solutions of backward stochastic differential equations.
From MaRDI portal
Publication:2574605
DOI10.1016/S0304-4149(03)00089-9zbMath1075.65503MaRDI QIDQ2574605
Ying Hu, Philippe Briand, Etienne Pardoux, Bernard Delyon, Lucretiu Stoica
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items (only showing first 100 items - show all)
Linear forward-backward stochastic differential equations with random coefficients ⋮ Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions ⋮ Backward stochastic differential equations with mean reflection and two constraints ⋮ Gradient estimates for nonlinear diffusion semigroups by coupling methods ⋮ On the stability theorem of \(L^{p}\) solutions for multidimensional BSDEs with uniform continuity generators in \(z\) ⋮ A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ Generalized Peng's \(g\)-expectations and related properties ⋮ Uniqueness result for the BSDE whose generator is monotonic in \(y\) and uniformly continuous in \(z\) ⋮ \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications ⋮ Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition ⋮ \(L^p\) solution of general mean-field BSDEs with continuous coefficients ⋮ Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ Backward stochastic differential equations with singular terminal condition ⋮ Semilinear elliptic equations with Dirichlet operator and singular nonlinearities ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ Backward stochastic differential equations and Dirichlet problems of semilinear elliptic operators with singular coefficients ⋮ Supermartingale decomposition theorem under \(G\)-expectation ⋮ On the existence, uniqueness, stability and the properties of large deviations of solutions of backward stochastic differential equations with random terminal time. Application to singular perturbation problems. ⋮ Jensen's inequality for generalized Peng's \(g\)-expectations and its applications ⋮ On the set of solutions of a BSDE with continuous coefficient ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity ⋮ A generalized existence theorem of backward doubly stochastic differential equations ⋮ Multidimensional BSDEs with weak monotonicity and general growth generators ⋮ Well-posedness of backward stochastic partial differential equations with Lyapunov condition ⋮ Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type ⋮ The \(L^p\) Cauchy sequence for one-dimensional BSDEs with linear growth generators ⋮ \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\) ⋮ BSDEs with monotone generator and two irregular reflecting barriers ⋮ A class of BSDE with integrable parameters ⋮ \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method ⋮ A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications ⋮ A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications ⋮ Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients ⋮ Dynamic programming approach to principal-agent problems ⋮ Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators ⋮ \(L^p\) solutions of backward stochastic Volterra integral equations ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\) ⋮ On backward stochastic differential equations and strict local martingales ⋮ \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ 2D backward stochastic Navier-Stokes equations with nonlinear forcing ⋮ Backward stochastic differential equations with reflection and weak assumptions on the coefficients ⋮ Quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ Jensen's inequality for filtration consistent nonlinear expectation without domination condition ⋮ Reflected BSDEs on filtered probability spaces ⋮ \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators ⋮ Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators ⋮ Uniqueness of solution to scalar BSDEs with \(L\exp\left(\mu_0\sqrt{2\log(1+L)}\right)\)-integrable terminal values: an \(L^1\)-solution approach ⋮ Well-posedness and regularity of backward stochastic Volterra integral equations ⋮ Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence ⋮ Stochastic partial differential equations with singular terminal condition ⋮ Representation theorems for generators of BSDEs in \(L_p\) spaces ⋮ Global Carleman estimates for the linear stochastic Kuramoto-Sivashinsky equations and their applications ⋮ Uniqueness of solution to scalar BSDEs with \(L\exp(\mu \sqrt{2\log(1+L)})\)-integrable terminal values ⋮ Existence of solution to scalar BSDEs with \(L\exp\left(\sqrt {\frac{2}{\lambda}\log(1+L)}\right)\)-integrable terminal values ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Semilinear elliptic systems with measure data ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions ⋮ Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations ⋮ Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\) ⋮ Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems ⋮ One-dimensional BSDEs with finite and infinite time horizons ⋮ General existence results for reflected BSDE and BSDE ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Backward stochastic Volterra integral equations -- a brief survey ⋮ Stationary solutions of SPDEs and infinite horizon BDSDEs with non-Lipschitz coefficients ⋮ \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions ⋮ \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition ⋮ Backward stochastic differential equations associated to a symmetric Markov process ⋮ Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs ⋮ Existence and uniqueness of solution to scalar BSDEs with \(L\exp (\mu \sqrt{2\log (1+L)} )\)-integrable terminal values: the critical case ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation ⋮ Backward stochastic dynamics on a filtered probability space ⋮ Donsker-type theorem for BSDEs: rate of convergence ⋮ The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ \(L^p\) solutions for multidimensional BDSDEs with locally weak monotonicity coefficients ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs ⋮ A stochastic Gronwall inequality in random time horizon and its application to BSDE ⋮ Maximum principle for quasi-linear backward stochastic partial differential equations ⋮ \(g\)-expectation of distributions ⋮ On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting ⋮ Right Markov processes and systems of semilinear equations with measure data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- BSDEs with polynomial growth generators
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
- Backward Stochastic Differential Equations in Finance
- Existence for BSDE with superlinear–quadratic coefficient
This page was built for publication: \(L^p\) solutions of backward stochastic differential equations.