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BSDEs on finite and infinite time horizon with discontinuous coefficients

Yong Ren|Pengju Duan
대한수학회 (The Korean Mathematical Society)|2013.07|대한수학회보 (Bulletin of the KMS)|제50권 제4호|pp. 1079-1086

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참고문헌

키워드

existence and uniquenesscomparison theorembackward stochastic differential equationsdiscontinuous conditions
주제분류수학

초록

This paper is devoted to solving one dimensional backward stochastic differential equations (BSDEs). We prove the existence of the solutions to BSDEs if the generator satisfies the general growth and discontinuous conditions.

Abstract

This paper is devoted to solving one dimensional backward stochastic differential equations (BSDEs). We prove the existence of the solutions to BSDEs if the generator satisfies the general growth and discontinuous conditions.

참고문헌 (10)

  1. Z. Chen, "Infinite time interval BSDEs and the convergence of g- martingales", J. Austral. Math. Soc. Ser. A, 69(2), pp.187~211 (2000)
  2. S. Fan, "Uniqueness result for the BSDE whose generator is monotonic in y and uniformly continuous in z, C. R", Math. Acad. Sci. Paris, 348(1), pp.89~92 (2010)
  3. S. Fan, "Finite and infinite time interval BSDEs with non-Lipschitz coefficients", Statist. Probab. Lett, 80(11), pp.962~968 (2010)
  4. S. Fan, "Uniqueness of solutions for multidimensional BSDEs with uniformly continuous generators", C. R. Math. Acad. Sci. Paris, 348(11), pp.683~686 (2010)
  5. S. Fan, "One-dimensional BSDEs with finite and infinite time horizons", Stochastic Process. Appl, 121(3), pp.427~440 (2011)
  6. S. Hamadene, "Multidimensional backward stochastic differential equations with uniformly continuous coefficient", Bernoulli, 9(3), pp.517~534 (2003)
  7. G. Jia, "A class of backward stochastic differential equations with discontinuous coefficients", Statist. Probab. Lett, 78(3), pp.231~237 (2008)
  8. J. P. Lepeltier, "Backward stochastic differential with continuous coefficients", Statist. Probab. Lett, 32(4), pp.426~430 (1997)
  9. X. Mao, "Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients", Stochastic Process. Appl, 58(2), pp.281~292 (1995)
  10. E. Pardoux, "Adapted solution of a backward stochastic differential equation", Systems Control. Lett, 14(1), pp.55~61 (1990)

관련 논문AI추천

$L^p$ solutions for general time interval multidimensional BSDEs with weak monotonicity and general growth generatorsShengjun Fan, Yongpeng Dong대한수학회 · 대한수학회논문집2018 · 제33권 제3호Lp (p ≥ 1) SOLUTIONS OF MULTIDIMENSIONAL BSDES WITH TIME-VARYING QUASI-HOLDER CONTINUITY GENERATORS IN GENERAL TIME INTERVALSFAN Sheng-Jun, Xiao Lishun대한수학회 · 대한수학회논문집2020 · 제35권 제2호$L^p$-solutions for reflected BSDEs with time delayed generatorsQing Zhou대한수학회 · 대한수학회보2016 · 제53권 제3호$\mathbb{D}$-solutions of BSDEs with Poisson jumpsImen Hassairi대한수학회 · 대한수학회지2022 · 제59권 제6호MULTIDIMENSIONAL BSDES WITH UNIFORMLY CONTINUOUS GENERATORS AND GENERAL TIME INTERVALSLishun Xiao, Shengjun Fan, Yanbin Wang대한수학회 · 대한수학회보2015 · 제52권 제2호Minimal and maximal bounded solutions for quadratic BSDEs with stochastic conditionsHuanhuan Luo, Shengjun Fan대한수학회 · 대한수학회보2017 · 제54권 제6호

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