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arxiv: 1508.02501 · v1 · pith:WNCNKM2Rnew · submitted 2015-08-11 · 🧮 math.PR

Bounded solutions, L^p (p>1) solutions and L¹ solutions for one-dimensional BSDEs under general assumptions

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keywords solutionsbsdesgeneralgrowthresultsallowedassumptionsbounded
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This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p (p>1)$ solutions and $L^1$ solutions of the BSDEs. The time horizon is allowed to be finite or infinite, and the generator $g$ is allowed to have a general growth in $y$ and a quadratic growth in $z$. As compensation, the generator $g$ needs to satisfy a kind of one-sided linear or super-linear growth condition in $y$, instead of the monotonicity condition in $y$ as is usually done. Many of our results improve virtually some known results, even though for the case of the finite time horizon and the case of the $L^2$ solution.

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