A priori estimates for multidimensional BSDEs with integrable data
Probability
2022-08-09 v1
Abstract
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be non-increasing with respect to the value variable (with no restrictions on the growth) and Lipschitz continuous, with sublinear growth, with respect to the control variable. We provide a priori estimate and stability result for solutions to the aforementioned BSDEs.
Keywords
Cite
@article{arxiv.2208.03590,
title = {A priori estimates for multidimensional BSDEs with integrable data},
author = {Tomasz Klimsiak and Maurycy Rzymowski},
journal= {arXiv preprint arXiv:2208.03590},
year = {2022}
}