Backward stochastic differential equations with an unbounded generator

Gashi, B and Li, J (2019) Backward stochastic differential equations with an unbounded generator. Stochastics and Dynamics, 19 (1). p. 1950008.

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Abstract

In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are new. We also prove a comparison theorem. Second, under the linear growth and continuity assumptions on the possibly unbounded generator, we prove the existence of the solution pair. This class of equations is more general than the existing ones.

Item Type:	Article
Additional Information:	## TULIP Type: Articles/Papers (Journal) ##
Uncontrolled Keywords:	BSDEs, Unbounded generator, Existence, Uniqueness, Comparison theorem
Depositing User:	Symplectic Admin
Date Deposited:	13 Mar 2018 09:52
Last Modified:	19 Jan 2023 06:38
DOI:	10.1142/S0219493719500084
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3018933