Lp solutions of multidimensional BSDEs with weak monotonicity and general growth generators

被引：21

作者：

Fan, ShengJun ^{[1
]}

机构：

[1] China Univ Min & Technol, Coll Sci, Xuzhou 221116, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2015年 / 432卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Backward stochastic differential equation; L-p solution; Weak monotonicity condition; Comparison theorem; Stability theorem; STOCHASTIC DIFFERENTIAL-EQUATIONS; ONE-DIMENSIONAL BSDES; ADAPTED SOLUTION; NON-LIPSCHITZ; HOMOGENIZATION; CONVERGENCE;

D O I：

10.1016/j.jmaa.2015.06.049

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we first establish the existence and uniqueness of L-p (p > 1) solutions for multidimensional backward stochastic differential equations (BSDEs) under a weak monotonicity condition together with a general growth condition in y for the generator g. Then, we overview several conditions related closely to the weak monotonicity condition and compare them in an effective way. Finally, we put forward and prove a stability theorem and a comparison theorem of L-p (p > 1) solutions for this kind of BSDEs. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：156 / 178

页数：23

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