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Multidimensional BSDEs with Weak Monotonicity and General Growth Generators 被引量:4

Multidimensional BSDEs with Weak Monotonicity and General Growth Generators
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摘要 This paper aims at solving a multidimensional backward stochastic differential equation (BSDE) whose generator g satisfies a weak monotonicity condition and a general growth condition in y. We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation, the convolution approach, the iteration, the truncation and the Bihari inequality. Then, we overview some assumptions related closely to the monotonieity condition in the literature and compare them in an effective way, which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonieity condition with the general growth condition in y, and it generalizes some known results. Finally, we prove a stability theorem and a comparison theorem for this kind of BSDEs, which also improves some known results. This paper aims at solving a multidimensional backward stochastic differential equation (BSDE) whose generator g satisfies a weak monotonicity condition and a general growth condition in y. We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation, the convolution approach, the iteration, the truncation and the Bihari inequality. Then, we overview some assumptions related closely to the monotonieity condition in the literature and compare them in an effective way, which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonieity condition with the general growth condition in y, and it generalizes some known results. Finally, we prove a stability theorem and a comparison theorem for this kind of BSDEs, which also improves some known results.
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2013年第10期1885-1906,共22页 数学学报(英文版)
基金 Supported by National Natural Science Foundation of China(Grant No.11101422) the Fundamental Research Funds for the Central Universities(Grant No.2012QNA36)
关键词 Backward stochastic differential equation. existence and uniqueness weak monotonicitycondition general growth condition comparison theorem Backward stochastic differential equation., existence and uniqueness, weak monotonicitycondition, general growth condition, comparison theorem
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  • 2Peng Shige,Proc Sympo System Sciences and Control Theory Chen Yongeds,1992年,173页
  • 3He Shengwu,Semimartingal Theory and Stochastic Calculus,1992年
  • 4Pardoux E,Syst Contr Lett,1990年,14卷,55页

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