General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

نویسندگان

چکیده

<p style='text-indent:20px;'>This paper establishes an existence and uniqueness result for the adapted solution of a general time interval multidimensional backward stochastic differential equation (BSDE), where generator <inline-formula> <tex-math id="M1">\begin{document}$ g $\end{document}</tex-math> </inline-formula> satisfies weak stochastic-monotonicity condition growth in state variable id="M2">\begin{document}$ y </inline-formula>, stochastic-Lipschitz id="M3">\begin{document}$ z </inline-formula>. This unifies strengthens some known works. In order to prove this result, we develop ideas techniques employed Xiao Fan [<xref ref-type="bibr" rid="b25">25</xref>] Liu et al. rid="b15">15</xref>]. particular, put forward Gronwall-type inequality Bihari-type inequality, which generalize classical ones may be useful other applications. The martingale representation theorem, Itô’s formula, BMO tool are used these two inequalities. </p>

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

BSDEs with weak terminal condition

We introduce a new class of Backward Stochastic Differential Equations in which the T -terminal value YT of the solution (Y, Z) is not fixed as a random variable, but only satisfies a weak constraint of the form E[Ψ(YT )] ≥ m, for some (possibly random) non-decreasing map Ψ and some threshold m. We name them BSDEs with weak terminal condition and obtain a representation of the minimal time t-va...

متن کامل

Bsdes with Stochastic Lipschitz Condition

We prove an existence and uniqueness theorem for backward stochastic di erential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.

متن کامل

BSDEs with polynomial growth generators

In this paper, we give existence and uniqueness results for backward stochastic diierential equations when the generator has polynomial growth in the state variable. We deal with the case of xed terminal time as well as the case of random terminal time. The need for this type of extension of the classical existence and uniqueness results comes from the desire to provide a probabilistic represen...

متن کامل

On Regular Rings Satisfying Weak Chain Condition

In this paper, we shall study regular rings satisfying weak chain condition. As main results, we show that regular rings satisfying weak chain condition are unit-regular, and show that these rings have the unperforation and power cancellation properties for the family of finitely generated projective modules.

متن کامل

Discrete-time Approximation of Multidimensional BSDEs with oblique re ections

In this paper, we study the discrete-time approximation of multi-dimensionalre ected BSDEs presented by Hu and Tang [3]. In comparison to the penalizingapproach followed by Hamadï¿1⁄2ne and Jeanblanc [2] or Elie and Kharroubi [1], westudy a more natural scheme based on oblique projections. We provide a controlon the error of the algorithm by introducing and studying the notion o...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Probability, Uncertainty and Quantitative Risk

سال: 2021

ISSN: ['2367-0126', '2095-9672']

DOI: https://doi.org/10.3934/puqr.2021015