Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type

This paper is interested in solving a multidimensional backward stochastic differential equation (BSDE) whose generator satisfies the Osgood condition in y and the Lipschitz condition in z. We establish an existence and uniqueness result of solutions for this kind of BSDEs, which generalizes some known results.     

One-dimensional BSDEs with finite and infinite time horizons

This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs), where the time horizon may be finite or infinite and the assumptions on the generator g are not necessary to be uniform on t. We first show the existence of the minimal solution for this kind of BSDEs with linear growth generators. Then, we establish a general comparison theorem for solutions of this kind of BSDEs with weakly monotonic and uniformly continuous generators. Finally, we give an existence and uniqueness result for solutions of this kind of BSDEs with uniformly continuous generators.     

Existence,uniqueness and approximation for <Emphasis Type="Italic">L</Emphasis><Superscript>p</Superscript> solutions of reflected BSDEs with generators of one-sided Osgood type

We prove several existence and uniqueness results for L ^p (p > 1) solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in y and a uniform continuity condition or a linear growth condition in z. A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. These results are obtained due to the development of those existing ideas and methods together with the application of new ideas and techniques, and they unify and improve some known works.     

L p (p>1) solutions for one-dimensional BSDEs with linear-growth generators

In this paper we study the existence and uniqueness of L ^p (p>1) solutions for one-dimensional backward stochastic differential equations (BSDEs in short) whose generator g and terminal condition ?? satisfy $\mathbf{E}[|\xi|^{p}+(\int_{0}^{T} |g(t,0,0)|\, \mathrm {d}t)^{p}]<+\infty$ . We get an existence result under the condition that g is continuous and of linear growth in (y,z). And, we also prove an existence and uniqueness result where g satisfies the Osgood condition in y and is uniformly continuous in z. Particularly, a comparison theorem for L ^p (p>1) solutions of BSDEs is obtained in this paper.     

Second order backward stochastic differential equations under a monotonicity condition

In a recent paper, Soner, Touzi and Zhang (2012) [19] have introduced a notion of second order backward stochastic differential equations (2BSDEs), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables y$y$ and z$z$. The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in y$y$. More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in z$z$ and uniformly continuous with linear growth in y$y$. Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework.     

Reflected Backward SDEs with Two Barriers Under Monotonicity and General Increasing Conditions

In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on y, with Lipschitz condition on z.     

Representation Theorem for Generators of Quadratic BSDEs

In this paper, we establish a general representation theorem for generator of backward stochastic differential equation (BSDE), whose generator has a quadratic growth in z. As some applications, we obtain a general converse comparison theorem of such quadratic BSDEs and uniqueness theorem, translation invariance for quadratic g-expectation.     

Lp solutions of backward stochastic differential equations

In this paper, we are interested in solving backward stochastic differential equations (BSDEs for short) under weak assumptions on the data. The first part of the paper is devoted to the development of some new technical aspects of stochastic calculus related to BSDEs. Then we derive a priori estimates and prove existence and uniqueness of solutions in L^p p>1, extending the results of El Karoui et al. (Math. Finance 7(1) (1997) 1) to the case where the monotonicity conditions of Pardoux (Nonlinear Analysis; Differential Equations and Control (Montreal, QC, 1998), Kluwer Academic Publishers, Dordrecht, pp. 503–549) are satisfied. We consider both a fixed and a random time interval. In the last section, we obtain, under an additional assumption, an existence and uniqueness result for BSDEs on a fixed time interval, when the data are only in L¹.     

Lp~(p>1) Solutions of BSDEs with Generators Satisfying Some Non-uniform Conditions in t and \omeg

This paper is devoted to the $L^p$ ($p>1$) solutions of one-dimensional backward stochastic differential equations (BSDEs for short) with general time intervals and generators satisfying some non-uniform conditions in $t$ and $\omega$. An existence and uniqueness result, a comparison theorem and an existence result for the minimal solutions are respectively obtained, which considerably improve some known works. Some classical techniques used to deal with the existence and uniqueness of $L^p$ ($p>1$) solutions of BSDEs with Lipschitz or linear-growth generators are also developed in this paper.     

Reflected and Doubly Reflected BSDEs for Levy Processes： Solutions and Comparison

In this paper we study reflected and doubly reflected backward stochastic differential equations （BSDEs, for short） driven by Teugels martingales associated with L~vy process satisfying some moment condi- tions and by an independent Brownian motion. For BSDEs with one reflecting barrier, we obtain a comparison theorem using the Tanaka-Meyer formula. For BSDEs with two reflecting barriers, we first prove the existence and uniqueness of the solutions under the Mokobodski＇s condition by using the Snell envelope theory and then we obtain a comparison result.     

Existence,Uniqueness and Approximation for L~p Solutions of Reflected BSDEs with Generators of One-sided Osgood Type

We prove several existence and uniqueness results for L~p(p 1) solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in y and a uniform continuity condition or a linear growth condition in z.A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. These results are obtained due to the development of those existing ideas and methods together with the application of new ideas and techniques, and they unify and improve some known works.     

Existence of solutions for nonlinear inequalities in G-convex spaces

By using a fixed-point theorem in G-convex spaces due to the first author, an existence result for abstract nonlinear inequalities without any monotonicity assumptions is established. As a consequence of our result, we obtain some further generalizations of recent known results. As application, an existence theorem for perturbed saddle point problems is obtained in noncompact G-convex spaces.     

BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) with generators which satisfy a stochastic Lipschitz condition involving BMO martingales. This framework arises naturally when looking at the BSDE satisfied by the gradient of the solution to a BSDE with quadratic growth in Z$Z$. We first prove an existence and uniqueness result from which we deduce the differentiability with respect to parameters of solutions to quadratic BSDEs. Finally, we apply these results to prove the existence and uniqueness of a mild solution to a parabolic partial differential equation in Hilbert space with nonlinearity having quadratic growth in the gradient of the solution.     

Invariant Representation for Stochastic Differential Operator by Bsdes with Uniformly Continuous Coefficients and its Applications

In this paper, we prove that a kind of second order stochastic differential operator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the uniformly continuous generator. With the help of this representation, we obtain the corresponding converse comparison theorem for the BSDEs with uniformly continuous coefficients, and get some equivalent relationships between the properties of the generator g and the associated solutions of BSDEs. Moreover, we give a new proof about g-convexity.     

A generalized existence theorem of BSDEs

In this Note, we deal with one-dimensional backward stochastic differential equations (BSDEs) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z, but without explicit growth constraint. We prove, in this setting, an existence theorem for backward stochastic differential equations. To cite this article: G. Jia, C. R. Acad. Sci. Paris, Ser. I 342 (2006).     

Quadratic BSDEs with convex generators and unbounded terminal conditions

In Briand and Hu (Probab Theory Relat Fields 136(4):604–618, 2006), the authors proved an existence result for BSDEs with quadratic generators with respect to the variable z and with unbounded terminal conditions. However, no uniqueness result was stated in that work. The main goal of this paper is to fill this gap. In order to obtain a comparison theorem for this kind of BSDEs, we assume that the generator is convex with respect to the variable z. Under this assumption of convexity, we are also able to prove a stability result in the spirit of the a priori estimates stated in Karoui et al. (Math Finance 7(1):1–71, 1997). With these tools in hands, we can derive the nonlinear Feynman–Kac formula in this context.     

A converse comparison theorem for anticipated BSDEs and related non-linear expectations

The converse comparison theorem has received much attention in the theory of backward stochastic differential equations (BSDEs). However, no such theorem has been proved for anticipated BSDEs. In this paper, we derive a converse comparison theorem by first giving an existence and uniqueness theorem for adapted solutions of anticipated BSDEs with a stopping time and then related to (f,δ)$(f,\delta )$-expectations induced by anticipated BSDEs.     

Generic well-posedness of nonconvex optimal control problems

The Tonelli existence theorem in the calculus of variations and its subsequent modifications were established for integrands f which satisfy convexity and growth conditions. In our previous work a generic existence and uniqueness result (with respect to variations of the integrand of the integral functional) without the convexity condition was established for a class of optimal control problems satisfying the Cesari growth condition. In this paper we extend this generic existence and uniqueness result to a class of optimal control problems in which the right-hand side of differential equations is also subject to variations.     

A Generalized Comparison Theorem for BSDEs and Its?Applications

This paper establishes a generalized comparison theorem for one-dimensional backward stochastic differential equations (BSDEs) whose generators are uniformly continuous in z and satisfy a kind of weakly monotonic condition in y. As applications, two new existence and uniqueness theorems for solutions of BSDEs are obtained. In the one-dimensional setting, these results generalize some corresponding results in Pardoux and Peng (Syst. Control Lett. 14:55–61, 1990), Mao (Stoch. Process. Their Appl. 58:281–292, 1995), El Karoui et al. (Math. Finance 7:1–72, 1997), Pardoux (Nonlinear Analysis, Differential Equations and Control, Montreal, QC, 1998, Kluwer Academic, Dordrecht, 1999), Cao and Yan (Adv. Math. 28(4):304–308, 1999), Briand and Hu (Probab. Theory Relat. Fields 136(4):604–618, 2006), and Jia (C. R. Acad. Sci. Paris, Ser. I 346:439–444, 2008).     

非Lipschitz条件下g 上鞅的非线性Doob Meyer分解

作者讨论非Lipschitz条件下g 上鞅的非线性Doob Meyer 分解.　为此讨论一类漂移系数g(s,·,·)关于(y,z)不满足Lipschitz条 件的倒向随机微分方程解的存在唯一性,运用Biharis不等式证明了一类倒向随机微分方程的比较定理以及g 上解的极限定理.