L^p(1 < p ⩽ 2) solutions of one-dimensional BSDEs whose generator is weakly monotonic in y and non-Lipschitz in z

ABSTRACT

In this paper, we start with establishing the existence of a minimal (maximal) L^p (1 < p ⩽ 2) solution to a one-dimensional backward stochastic differential equation (BSDE), where the generator g satisfies a p-order weak monotonicity condition together with a general growth condition in y and a linear growth condition in z. Then, we propose and prove a comparison theorem of L^p (1 < p ⩽ 2) solutions to one-dimensional BSDEs with q-order (1 ⩽ q < p) weak monotonicity and uniform continuity generators. As a consequence, an existence and uniqueness result of L^p (1 < p ⩽ 2) solutions is also given for BSDEs whose generator g is q-order (1 ⩽ q < p) weakly monotonic with a general growth in y and uniformly continuous in z.

Keywords:

• Backward stochastic differential equation
• weak monotonicity
• comparison theorem
• linear growth
• uniform continuity

MATHEMATICS SUBJECT CLASSIFICATION:

• 60H10

Additional information

Funding

Supported by the Fundamental Research Funds for the Central Universities (No. 2017XKQY98).