One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z
Briand, Philippe ; Relepeltier, Jean-Pier ; San Martín, Jaime
Bernoulli, Tome 13 (2007) no. 1, p. 80-91 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
In this paper we study one-dimensional BSDE’s whose coefficient f is monotonic in y and non-Lipschitz in z. We obtain a general existence result when f has at most quadratic growth in z and ξ is bounded. We study the special case f(t,y,z)=|z|p where p∈(1,2]. Finally, we study the case f has a linear growth in z, general growth in y and ξ is not necessarily bounded.
Publié le : 2007-02-14
Classification:  backward stochatic differential equations,  monotonic non-Lipschitz coefficient 
@article{1175287721,
     author = {Briand, Philippe and Relepeltier, Jean-Pier and San Mart\'\i n, Jaime},
     title = {One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 80-91},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175287721}
}

Briand, Philippe; Relepeltier, Jean-Pier; San Martín, Jaime. One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z. Bernoulli, Tome 13 (2007) no. 1, pp.  80-91. http://gdmltest.u-ga.fr/item/1175287721/