English

$L^1$ solutions to one-dimensional BSDEs with sublinear growth generators in $z$

Probability 2017-01-17 v1

Abstract

This paper aims at solving a one-dimensional backward stochastic differential equation (BSDE for short) with only integrable parameters. We first establish the existence of a minimal L1L^1 solution for the BSDE when the generator gg is stronger continuous in (y,z)(y,z) and monotonic in yy as well as it has a general growth in yy and a sublinear growth in zz. Particularly, the gg may be not uniformly continuous in zz. Then, we put forward and prove a comparison theorem and a Levi type theorem on the minimal L1L^1 solutions. A Lebesgue type theorem on L1L^1 solutions is also obtained. Furthermore, we investigate the same problem in the case that gg may be discontinuous in yy. Finally, we prove a general comparison theorem on L1L^1 solutions when gg is weakly monotonic in yy and uniformly continuous in zz as well as it has a stronger sublinear growth in zz. As a byproduct, we also obtain a general existence and unique theorem on L1L^1 solutions. Our results extend some known works.

Keywords

Cite

@article{arxiv.1701.04151,
  title  = {$L^1$ solutions to one-dimensional BSDEs with sublinear growth generators in $z$},
  author = {ShengJun Fan},
  journal= {arXiv preprint arXiv:1701.04151},
  year   = {2017}
}

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24 pages