Lp Solutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients

被引：22

作者：

Chen, Shaokuan ^{[1
]}

机构：

[1] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2010年 / 28卷 / 05期

关键词：

Backward stochastic differential equations; Lp solution; Uniformly continuous; UNIFORMLY CONTINUOUS COEFFICIENTS; QUADRATIC GROWTH; BSDES;

D O I：

10.1080/07362994.2010.503456

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article, we study one-dimensional backward stochastic differential equations with continuous coefficients. We show that if the generator f is uniformly continuous in (y, z), uniformly with respect to (t, ), and if the terminal value Lp(, FT, P) with 1p2, the backward stochastic differential equation has a unique Lp solution.

引用

页码：820 / 841

页数：22

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