General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales

DOI10.1080/17442508.2017.1282956zbMath1394.60066OpenAlexW2610338737MaRDI QIDQ4584670

Lishun Xiao, Sheng-Jun Fan

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1282956

zbMATH Keywords

comparison theoremexistence and uniquenessbackward stochastic differential equation\(g\)-supermartingalenonlinear Doob-Meyer's decomposition

Mathematics Subject Classification ID

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

Related Items (6)

Unnamed Item ⋮ L^p (1 < p < 2) solutions of backward doubly stochastic differential equations with locally monotone coefficients ⋮ General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition ⋮ A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications ⋮ Dynamic programming approach to reflected backward stochastic differential equations ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations

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