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Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities

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  • Bensoussan, Alain
  • Li, Yiqun
  • Yam, Sheung Chi Phillip

Abstract

In this article, we provide the first systematic study on the unique existence of the solution of backward stochastic dynamical variational inequalities on a general complete filtered probability space. We also build up a comprehensive analysis of the correspondence between these stochastic variational inequalities (resp. backward stochastic dynamics) and the weak solutions (instead of viscosity ones due to the intrinsic non-local nature of the integral of the gradient involved) of a class of non-local parabolic variational inequalities (resp. parabolic partial differential equations), which is barely touched in the existing literature due to its unconventional setting.

Suggested Citation

  • Bensoussan, Alain & Li, Yiqun & Yam, Sheung Chi Phillip, 2018. "Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 644-688.
    • Handle: RePEc:eee:spapps:v:128:y:2018:i:2:p:644-688
    DOI: 10.1016/j.spa.2017.06.005
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    References listed on IDEAS

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    1. Klimsiak, Tomasz, 2015. "Reflected BSDEs on filtered probability spaces," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4204-4241.
    2. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
    3. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    4. Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
    5. repec:dau:papers:123456789/332 is not listed on IDEAS
    6. Rozkosz, Andrzej & Słomiński, Leszek, 2012. "Lp solutions of reflected BSDEs under monotonicity condition," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 3875-3900.
    7. Pardoux, Etienne & Rascanu, Aurel, 1998. "Backward stochastic differential equations with subdifferential operator and related variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 191-215, August.
    8. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
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    Cited by:

    1. Klimsiak, Tomasz & Rzymowski, Maurycy, 2023. "Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 424-450.

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