A class of BSDE with integrable parameters

DOI10.1016/j.spl.2010.09.009zbMath1204.60049OpenAlexW2069640358MaRDI QIDQ613205

Dequn Liu, Sheng-Jun Fan

Publication date: 20 December 2010

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

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.009

zbMATH Keywords

existence and uniquenessbackward stochastic differential equationHölder continuousintegrable parameters

Mathematics Subject Classification ID

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

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Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions ⋮ One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients ⋮ Anticipated backward stochastic differential equations with non-Lipschitz coefficients ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ L^p (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals ⋮ Unnamed Item

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Backward stochastic differential equations with continuous coefficient
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• A uniqueness theorem for the solution of backward stochastic differential equations
• \(L^p\) solutions of backward stochastic differential equations.