Limit theorem and uniqueness theorem of backward stochastic differential equations

DOI10.1007/s11425-006-2024-2zbMath1112.60046OpenAlexW2367257812MaRDI QIDQ867793

Long Jiang

Publication date: 16 February 2007

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-006-2024-2

zbMATH Keywords

generatorbackward stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (12)

BSDEs driven by time-changed Lévy noises with non-Lipschitz generators ⋮ A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications ⋮ Forward-backward doubly stochastic differential equations and related stochastic partial differential equations ⋮ Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions ⋮ A limit theorem for solutions to BSDEs in the space of processes ⋮ A local limit theorem for solutions of BSDEs with Mao's non-Lipschitz generator ⋮ \(p\)-moment stability of power system under small Gauss type random excitation ⋮ A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes ⋮ Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type ⋮ Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration ⋮ Representation theorems for generators of BSDEs with monotonic and convex growth generators ⋮ Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

Cites Work

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• Adapted solution of a backward stochastic differential equation
• RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A property of \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• A general converse comparison theorem for backward stochastic differential equations

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