Lp solutions to backward stochastic differential equations with discontinuous generators
In this paper, we deal with the Lp(p>1) solutions to one dimensional backward stochastic differential equations (BSDEs) with discontinuous generators. We obtain an existence theorem of Lp solutions for BSDEs whose generators satisfy a kind of discontinuous condition in y and are uniformly continuous in z.
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Volume (Year): 83 (2013)
Issue (Month): 2 ()
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- Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
- Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
- Mao, Xuerong, 1995. "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 281-292, August.
- 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.
- Fan, ShengJun & Jiang, Long & Tian, DeJian, 2011. "One-dimensional BSDEs with finite and infinite time horizons," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 427-440, March.
- Zheng, Shiqiu & Zhou, Shengwu, 2008. "A generalized existence theorem of reflected BSDEs with double obstacles," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 528-536, April.
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