One-dimensional BSDEs with finite and infinite time horizons |
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Authors: | ShengJun Fan Long Jiang DeJian Tian |
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Institution: | College of Sciences, China University of Mining & Technology, Xuzhou, Jiangsu 221116, PR China |
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Abstract: | 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. |
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Keywords: | primary 60H10 |
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