Monotonic Limit Properties for Solutions of BSDEs with Continuous Coefficients

One Dimensional ◽

Maximal Solutions ◽

Minimal And Maximal Solutions

This paper investigates the monotonic limit properties for the minimal and maximal solutions of certain one-dimensional backward stochastic differential equations with continuous coefficients.

Comparison Theorem for any Solutions of Backward Stochastic Differential Equations and its Application

Advanced Materials Research ◽

10.4028/www.scientific.net/amr.524-527.3801 ◽

2012 ◽

Vol 524-527 ◽

pp. 3801-3804

Author(s):

Shi Yu Li ◽

Wu Jun Gao ◽

Jin Hui Wang

Keyword(s):

Differential Equations ◽

Comparison Theorem ◽

Stochastic Equations ◽

Local Martingale ◽

One Dimensional ◽

Lipschitz Continuous ◽

The One ◽

Uniformly Lipschitz

ƒIn this paper, we study the one-dimensional backward stochastic equations driven by continuous local martingale. We establish a generalized the comparison theorem for any solutions where the coefficient is uniformly Lipschitz continuous in z and is equi-continuous in y.

LpSolutions of One-Dimensional Backward Stochastic Differential Equations with Continuous Coefficients

Stochastic Analysis and Applications ◽

10.1080/07362994.2010.503456 ◽

2010 ◽

Vol 28 (5) ◽

pp. 820-841 ◽

Cited By ~ 12

Author(s):

Shaokuan Chen

Keyword(s):

Differential Equations ◽

Solutions and comparison theorems for anticipated backward stochastic differential equations with non-Lipschitz generators

JOURNAL OF ADVANCES IN MATHEMATICS ◽

10.24297/jam.v12i4.345 ◽

2016 ◽

Vol 12 (4) ◽

pp. 6139-6147

Author(s):

Xuecheng XU ◽

Min Chen

Keyword(s):

Differential Equations ◽

Existence And Uniqueness ◽

Uniqueness Result ◽

Comparison Theorems ◽

This paper is devoted to solving multidimensional anticipated backward stochastic differential equations (anticipated BSDEs for short) with a kind of non-Lipschitz generators. We establish the existence and uniqueness result for L2 solutions of this kind of anticipated BSDEs, and establish the corresponding one-dimensional comparison theorems for the type of anticipated BSDEs. Our results improve some known results.

A Discrete Time Approximations for Certain Class of One-Dimensional Backward Stochastic Differential Equations via Girsanov's Theorem

Communications on Stochastic Analysis ◽

10.31390/cosa.12.1.02 ◽

2018 ◽

Vol 12 (1) ◽

Author(s):

Aissa Sghir ◽

Driss Seghir ◽

Soukaina Hadiri

Keyword(s):

Differential Equations ◽

Discrete Time ◽

One Dimensional ◽

Girsanov’S Theorem

Predictable solution for reflected BSDEs when the obstacle is not right-continuous

Random Operators and Stochastic Equations ◽

10.1515/rose-2020-2045 ◽

2020 ◽

Vol 28 (4) ◽

pp. 269-279

Author(s):

Mohamed Marzougue ◽

Mohamed El Otmani

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Existence And Uniqueness ◽

Random Measure ◽

Poisson Random Measure ◽

One Dimensional ◽

General Filtration ◽

Reflected Bsdes

AbstractIn the present paper, we consider reflected backward stochastic differential equations when the reflecting obstacle is not necessarily right-continuous in a general filtration that supports a one-dimensional Brownian motion and an independent Poisson random measure. We prove the existence and uniqueness of a predictable solution for such equations under the stochastic Lipschitz coefficient by using the predictable Mertens decomposition.

Reflected backward stochastic differential equations with time-delayed generators

Random Operators and Stochastic Equations ◽

10.1515/rose-2018-0002 ◽

2018 ◽

Vol 26 (1) ◽

pp. 11-22

Author(s):

Navegué Tuo ◽

Harouna Coulibaly ◽

Auguste Aman

Keyword(s):

Differential Equations ◽

Existence And Uniqueness ◽

Uniqueness Result ◽

Penalization Method ◽

AbstractThis paper is devoted to establish an existence and uniqueness result of one-dimensional reflected backward stochastic differential equations with time-delayed generators (RBSDEs with time-delayed generators, in short). Our proof is based on approximation via a penalization method.

One-dimensional backward stochastic differential equations whose coefficient is monotonic in $y$ and non-Lipschitz in $z$

Bernoulli ◽

10.3150/07-bej5004 ◽

2007 ◽

Vol 13 (1) ◽

pp. 80-91 ◽

Cited By ~ 22

Author(s):

Philippe Briand ◽

Jean-Pier Relepeltier ◽

Jaime San Martín

Keyword(s):

Differential Equations ◽

Backward doubly SDEs with continuous and stochastic linear growth coefficients

Random Operators and Stochastic Equations ◽

10.1515/rose-2018-0014 ◽

2018 ◽

Vol 26 (3) ◽

pp. 175-184 ◽

Cited By ~ 1

Author(s):

Jean Marc Owo

Keyword(s):

Differential Equations ◽

Comparison Theorem ◽

Linear Growth ◽

Doubly Stochastic ◽

Maximal Solutions ◽

Minimal And Maximal Solutions

Abstract We study backward doubly stochastic differential equations when the coefficients are continuous with stochastic linear growth. Via an approximation and comparison theorem, the existence of minimal and maximal solutions are obtained.