On the backward stochastic differential equation with generator f(y)|z|2

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:500

Article

Zheng, Shiqiu¹  Zhang, Lidong¹  Feng, Lichao² 

[1] Tianjin Univ Sci & Technol, Coll Sci, Tianjin 300457, Peoples R China

[2] North China Univ Sci & Technol, Coll Sci, Tangshan 063210, Peoples R China

关键词: Backward stochastic differential equation;    Quadratic growth;    Comparison theorem;    Converse comparison theorem;    Viscosity solution;   

DOI  :  10.1016/j.jmaa.2021.125102

来源: Elsevier

【 摘 要 】

In this paper, we consider the backward stochastic differential equation (BSDE) with generator f(y)vertical bar z vertical bar(2), where the function fis defined on an open interval Dand locally integrable. The existence and uniqueness of bounded solutions and L-p(p >= 1) solutions of such BSDEs are obtained. Some comparison theorems and a converse comparison theorem of such BSDEs are established. As an application, we give a probabilistic interpretation of viscosity solution of quadratic PDEs. (C) 2021 Elsevier Inc. All rights reserved.

【 授权许可】

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