A representation theorem for generators of BSDEs with general growth generators in $y$ and its applications
Abstract
In this paper we first prove a general representation theorem for generators of backward stochastic differential equations (BSDEs for short) by utilizing a localization method involved with stopping time tools and approximation techniques, where the generators only need to satisfy a weak monotonicity condition and a general growth condition in and a Lipschitz condition in . This result basically solves the problem of representation theorems for generators of BSDEs with general growth generators in . Then, such representation theorem is adopted to prove a probabilistic formula, in viscosity sense, of semilinear parabolic PDEs of second order. The representation theorem approach seems to be a potential tool to the research of viscosity solutions of PDEs.
Keywords
Cite
@article{arxiv.1701.03870,
title = {A representation theorem for generators of BSDEs with general growth generators in $y$ and its applications},
author = {Lishun Xiao and Shengjun Fan},
journal= {arXiv preprint arXiv:1701.03870},
year = {2017}
}