Lp (1 < p ⩽ 2) solutions of one-dimensional BSDEs whose generator is weakly monotonic in y and non-Lipschitz in z

DOI10.1080/03610918.2018.1433842OpenAlexW2791688097MaRDI QIDQ5087484

Junxia Liao, Qianru Wang, Sheng-Jun Fan

Publication date: 1 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1433842

zbMATH Keywords

comparison theorembackward stochastic differential equationuniform continuitylinear growthweak monotonicity

Mathematics Subject Classification ID

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

Related Items (3)

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition ⋮ Unnamed Item

Cites Work

• Unnamed Item
• \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
• Adapted solution of a backward stochastic differential equation
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Backward stochastic differential equations with continuous coefficient
• Nonlinear decomposition of Doob-Meyer's type for continuous \(g\)-supermartingale with uniformly continuous coefficient
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• \(L^{p} (p>1)\) solutions of backward stochastic differential equations with monotonic and uniformly continuous generators
• \(L^p\) solutions to backward stochastic differential equations with discontinuous generators
• BSDE with quadratic growth and unbounded terminal value
• \(L^p\) solutions of backward stochastic differential equations.
• Backward Stochastic Differential Equations in Finance
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
• L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators

This page was built for publication: L^p (1 < p ⩽ 2) solutions of one-dimensional BSDEs whose generator is weakly monotonic in y and non-Lipschitz in z