Journal of East China Normal University(Natural Sc

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Lp solutions of BSDEs with weakly monotonic and uniformly continuous generators

LIAO Jun-xia, FAN Sheng-jun   

  1. College of Sciences, China University of Mining and Technology, Xuzhou Jiangsu 221116, China
  • Received:2015-10-29 Online:2016-11-25 Published:2017-01-13

Abstract:

This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs) whose generator g satisfies a (p ^ 2)-order weak monotonicity condition together with a general growth condition in y and a uniform continuity condition in z. Using the convolution technique and Girsanov’s theorem, we establish an existence and uniqueness result for Lp (p > 1) solutions of this kind of BSDEs, which generalizes some existing results.

Key words: backward stochastic differential equation, weak monotonicity, uniform continuity, existence and uniqueness