Lp (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals

被引：3

作者：

Xiao, Li-Shun ^{[1
]}

Fan, Sheng-Jun ^{[1
,2
]}

Xu, Na ^{[1
]}

机构：

[1] China Univ Min & Technol, Coll Sci, Xuzhou 221116, Jiangsu, Peoples R China

[2] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2015年 / 15卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Backward stochastic differential equation; general time interval; existence and uniqueness; monotone generator; general growth; STOCHASTIC DIFFERENTIAL-EQUATIONS; NON-LIPSCHITZ; CONVERGENCE; FINITE;

D O I：

10.1142/S0219493715500021

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equation in L-p (p >= 1). We first study the existence and uniqueness for L-p (p > 1) solutions by the method of convolution and weak convergence when the generator is monotonic in y and Lipschitz continuous in z both non-uniformly with respect to t. Then we obtain the existence and uniqueness for L-1 solutions with an additional assumption that the generator has a sublinear growth in z non-uniformly with respect to t.

引用

页数：34

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