Multidimensional BSDEs with Weak Monotonicity and General Growth Generators

被引:0
|
作者
Sheng Jun FAN [1 ,2 ]
Long JIANG [2 ]
机构
[1] School of Mathematical Sciences,Fudan University
[2] College of Sciences,China University of Mining and Technology
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
Backward stochastic differential equation; existence and uniqueness; weak monotonicity condition; general growth condition; comparison theorem;
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
This paper aims at solving a multidimensional backward stochastic differential equation(BSDE) whose generator g satisfies a weak monotonicity condition and a general growth condition in y.We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation,the convolution approach,the iteration,the truncation and the Bihari inequality.Then,we overview some assumptions related closely to the monotonicity condition in the literature and compare them in an effective way,which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonicity condition with the general growth condition in y,and it generalizes some known results.Finally,we prove a stability theorem and a comparison theorem for this kind of BSDEs,which also improves some known results.
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页码:1885 / 1906
页数:22
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