Lp solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition

DOI10.1080/03610926.2021.2016833OpenAlexW4200463935MaRDI QIDQ6170126

Sheng-Jun Fan, Xinying Li

Publication date: 12 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.2016833

zbMATH Keywords

comparison theoremexistence and uniquenessbackward stochastic differential equation\(L^p\) solutionweak stochastic-monotonicity conditionstochastic uniform-continuity condition

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators
• One-dimensional BSDEs with finite and infinite time horizons
• Adapted solution of a backward stochastic differential equation
• Harmonic analysis of stochastic equations and backward stochastic differential equations
• One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• BSDEs with monotone generator driven by time-changed Lévy noises
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• Nonlinear decomposition of Doob-Meyer's type for continuous \(g\)-supermartingale with uniformly continuous coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• \(L^{p} (p>1)\) solutions of backward stochastic differential equations with monotonic and uniformly continuous generators
• \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\)
• Representation theorems for WVaR with respect to a capacity
• Dynamic risk measures for processes via backward stochastic differential equations
• BSDE with quadratic growth and unbounded terminal value
• \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
• \(L^p\) solutions of backward stochastic differential equations.
• General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition
• Backward Stochastic Differential Equations in Finance
• L^pSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients
• BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
• L^p (1 < p < 2) solutions of backward doubly stochastic differential equations with locally monotone coefficients
• L^p solutions of anticipated BSDEs with weak monotonicity and general growth generators
• L^p (1 < p ⩽ 2) solutions of one-dimensional BSDEs whose generator is weakly monotonic in y and non-Lipschitz in z

This page was built for publication: L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition