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$L^p$ solutions for general time interval multidimensional BSDEs with weak monotonicity and general growth generators

Shengjun Fan|Yongpeng Dong
대한수학회 (The Korean Mathematical Society)|2018.07|대한수학회논문집 (Communications of the KMS)|제33권 제3호|pp. 985-999

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참고문헌

키워드

existence and uniquenessstability theoremgeneral time intervalcomparison theorembackward stochastic differential equationweak monotonicity
주제분류수학

초록

This paper is devoted to the existence and uniqueness of $L^p\,(p>1)$ solutions for general time interval multidimensional backward stochastic differential equations (BSDEs for short), where the generator $g$ satisfies a $(p\wedge 2)$-order weak monotonicity condition in $y$ and a Lipschitz continuity condition in $z$, both non-uniformly in $t$. The corresponding stability theorem and comparison theorem are also proved.

Abstract

This paper is devoted to the existence and uniqueness of $L^p\,(p>1)$ solutions for general time interval multidimensional backward stochastic differential equations (BSDEs for short), where the generator $g$ satisfies a $(p\wedge 2)$-order weak monotonicity condition in $y$ and a Lipschitz continuity condition in $z$, both non-uniformly in $t$. The corresponding stability theorem and comparison theorem are also proved.

참고문헌 (20)

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