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

被引：5

作者：

Zheng, Shiqiu ^{[1
]}

Zhang, Lidong ^{[1
]}

Feng, Lichao ^{[2
]}

机构：

[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

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2021年 / 500卷 / 01期

基金：

中国国家自然科学基金; 国家教育部科学基金资助;

关键词：

Backward stochastic differential equation; Quadratic growth; Comparison theorem; Converse comparison theorem; Viscosity solution; QUADRATIC GROWTH; EXISTENCE; BSDE;

D O I：

10.1016/j.jmaa.2021.125102

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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.

引用

页数：20

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