One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators

DOI10.1016/J.SPL.2012.06.004zbMath1255.60092OpenAlexW2047249864MaRDI QIDQ451158

Long Jiang, Sheng-Jun Fan

Publication date: 21 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.06.004

zbMATH Keywords

comparison theorembackward stochastic differential equationsLevi-type theoremlinear-growth generator

Mathematics Subject Classification ID

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

Related Items (7)

Optimal Auction Duration: A Price Formation Viewpoint ⋮ On the existence of solutions for stochastic differential equations driven by fractional Brownian motion ⋮ Stochastic Averaging Principle for Mixed Stochastic Differential Equations ⋮ Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators ⋮ Discontinuous Nash equilibrium points for nonzero-sum stochastic differential games ⋮ \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions

Cites Work

• Existence and uniqueness result for a backward stochastic differential equation whose generator is Lipschitz continuous in \(y\) and uniformly continuous in \(z\)
• Adapted solution of a backward stochastic differential equation
• Monotonic limit properties for solutions of BSDEs with continuous coefficients
• Backward stochastic differential equations with continuous coefficient
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• A class of backward stochastic differential equations with discontinuous coefficients
• \(L^p\) \((p>1)\) solutions for one-dimensional BSDEs with linear-growth generators
• Backward Stochastic Differential Equations in Finance
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients

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