This paper is devoted to solving a reflected backward stochastic differential equation(BSDE in short)with one continuous barrier and a quasi-linear growth generator g,which has a linear growth in(y,z),except the upper...This paper is devoted to solving a reflected backward stochastic differential equation(BSDE in short)with one continuous barrier and a quasi-linear growth generator g,which has a linear growth in(y,z),except the upper direction in case of y<0,and is more general than the usual linear growth generator.By showing the convergence of a penalization scheme we prove existence and comparison theorem of the minimal L^(p)(p>1)solutions for the reflected BSDEs.We also prove that the minimal Lpsolution can be approximated by a sequence of Lpsolutions of certain reflected BSDEs with Lipschitz generators.展开更多
Under the Lipschitz and square integrable assumptions on the generator g of BSDEs, this paper proves that if g is positively homogeneous in （y, z） and is decreasing in y, then the Moment inequality for BSDEs with ge...Under the Lipschitz and square integrable assumptions on the generator g of BSDEs, this paper proves that if g is positively homogeneous in （y, z） and is decreasing in y, then the Moment inequality for BSDEs with generator g holds in general, and if g is positively homogeneous and sub-additive in （y, z）, then the HSlder inequality and Minkowski inequality for BSDEs with generator g hold in general.展开更多
The main result of this study is to obtain, using the localization method in Briand et al. Levi, Fatou and Lebesgue type theorems for the solutions of certain one-dimensional backward stochastic differential equation ...The main result of this study is to obtain, using the localization method in Briand et al. Levi, Fatou and Lebesgue type theorems for the solutions of certain one-dimensional backward stochastic differential equation （BSDEs） with integrable parameters with respect to the terminal condition.展开更多
基金supported by National Natural Science Foundation of China(No.12171471)。
文摘This paper is devoted to solving a reflected backward stochastic differential equation(BSDE in short)with one continuous barrier and a quasi-linear growth generator g,which has a linear growth in(y,z),except the upper direction in case of y<0,and is more general than the usual linear growth generator.By showing the convergence of a penalization scheme we prove existence and comparison theorem of the minimal L^(p)(p>1)solutions for the reflected BSDEs.We also prove that the minimal Lpsolution can be approximated by a sequence of Lpsolutions of certain reflected BSDEs with Lipschitz generators.
基金Supported by the National Natural Science Foundation of China(No.10671205,)Youth Foundation of China University of Mining and Technology(No.2006A041,2007A029)
文摘Under the Lipschitz and square integrable assumptions on the generator g of BSDEs, this paper proves that if g is positively homogeneous in （y, z） and is decreasing in y, then the Moment inequality for BSDEs with generator g holds in general, and if g is positively homogeneous and sub-additive in （y, z）, then the HSlder inequality and Minkowski inequality for BSDEs with generator g hold in general.
基金the National Natural Science Foundation of China(No.10671205)Youth Foundation of China University of Mining & Technology(No.2006A041)
文摘The main result of this study is to obtain, using the localization method in Briand et al. Levi, Fatou and Lebesgue type theorems for the solutions of certain one-dimensional backward stochastic differential equation （BSDEs） with integrable parameters with respect to the terminal condition.
