Second Order Backward Stochastic Differential Equations under Monotonicity Condition
Abstract
In a recent paper, Soner, Touzi and Zhang [20] have introduced a notion of second order backward stochastic differential equations (2BSDEs for short), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables and . The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in . More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in and uniformly continuous with linear growth in . Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework.
Keywords
Cite
@article{arxiv.1201.1049,
title = {Second Order Backward Stochastic Differential Equations under Monotonicity Condition},
author = {Dylan Possamaï},
journal= {arXiv preprint arXiv:1201.1049},
year = {2014}
}
Comments
29 pages, to appear in Stochastic Processes and their Applications