$L^1$ solutions to one-dimensional BSDEs with sublinear growth generators in $z$
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 solution for the BSDE when the generator is stronger continuous in and monotonic in as well as it has a general growth in and a sublinear growth in . Particularly, the may be not uniformly continuous in . Then, we put forward and prove a comparison theorem and a Levi type theorem on the minimal solutions. A Lebesgue type theorem on solutions is also obtained. Furthermore, we investigate the same problem in the case that may be discontinuous in . Finally, we prove a general comparison theorem on solutions when is weakly monotonic in and uniformly continuous in as well as it has a stronger sublinear growth in . As a byproduct, we also obtain a general existence and unique theorem on 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}
}
Comments
24 pages