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.
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页码：117 / 126
页数：10
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