English

Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(\mu sqrt(2log(1+L)))}-integrable terminal values and monotonic generators

Probability 2019-09-04 v2

Abstract

This paper considers a class of scalar backward stochastic differential equations (BSDEs) with Lexp(μ2log(1+L))L\exp(\mu\sqrt{2\log(1+L)})-integrable terminal values. We associate these BSDEs with BSDEs with integrable parameters through Girsanov change. Using this technique, we prove uniqueness, comparisons and stability for them under an extended monotonicity condition (more precisely one sided Osgood condition).

Keywords

Cite

@article{arxiv.1903.09901,
  title  = {Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(\mu sqrt(2log(1+L)))}-integrable terminal values and monotonic generators},
  author = {Hun O and Mun-Chol Kim and Chol-Gyu Pak},
  journal= {arXiv preprint arXiv:1903.09901},
  year   = {2019}
}

Comments

14 pages