English

$L^p$ solutions of multidimensional BSDEs with weak monotonicity and general growth generators

Probability 2014-03-21 v1

Abstract

In this paper, we first establish the existence and uniqueness of Lp (p>1)L^p\ (p>1) solutions for multidimensional backward stochastic differential equations (BSDEs) under a weak monotonicity condition together with a general growth condition in yy for the generator gg. Then, we overview several conditions related closely to the weak monotonicity condition and compare them in an effective way. Finally, we put forward and prove a stability theorem and a comparison theorem of Lp (p>1)L^p\ (p>1) solutions for this kind of BSDEs.

Keywords

Cite

@article{arxiv.1403.5005,
  title  = {$L^p$ solutions of multidimensional BSDEs with weak monotonicity and general growth generators},
  author = {ShengJun Fan},
  journal= {arXiv preprint arXiv:1403.5005},
  year   = {2014}
}

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23 pages