Lp Solutions of BSDEs with Non-Uniformly Linear Growth Generators and General Time Interval

被引：0

作者：

Gaojie LU ^{[1
]}

Long JIANG ^{[2
]}

Depeng LI ^{[2
]}

Shengjun FAN ^{[2
]}

机构：

[1] Department of Mathematics,Tongji Zhejiang College

[2] School of Sciences,China University of Mining and Technology

来源：

Journal of Mathematical Research with Applications | 2016年 / 36卷 / 01期

基金：

中央高校基本科研业务费专项资金资助; 中国国家自然科学基金;

关键词：

BSDEs; finite or infinite time interval; non-uniformly linear growth generators; Cauchy sequence; L~p(p > 1) solutions;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we establish the existence of the minimal L（p > 1） solution of backward stochastic differential equations（BSDEs） where the time horizon may be finite or infinite and the generators have a non-uniformly linear growth with respect to t. The main idea is to construct a sequence of solutions {（Y, Z）} which is a Cauchy sequence in S× Mspace, and finally we prove {（Y, Z）} converges to the L（p > 1） solution of BSDEs.

引用

页码：117 / 126

页数：10

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