Journal of East China Normal University(Natural Sc ›› 2012, Vol. 2012 ›› Issue (1): 130-137.

• Article • Previous Articles     Next Articles

One-dimensional BSDEs with monotonic, H\"{o}lder continuous and Integrable parameters

XIAO Li-shun,LI Hui-ying,FAN Sheng-jun   

  1. College of Science, China University of Mining and Technology, Xuzhou, Jiangsu 221116,  China
  • Received:2011-04-01 Revised:2011-07-01 Online:2012-01-25 Published:2012-01-26

Abstract: This paper established a new existence and uniqueness result for solutions to one-dimensional backward stochastic differential equations (BSDEs) with only integrable parameters, where the generator $g$ is monotonic in $y$ and $\alpha$-H\"{o}lder ($0<\alpha<1$) continuous in $z$. By Tanaka's formula and Girsanov's theorem we established a comparison theorem for solutions in $L^1$ to BSDEs, from which the uniqueness follows. By convolution technique we obtained a uniform approximation sequence of the generator $g$ and then constructed a sequence of solutions in $L^1$ for BSDEs. Finally, we proved the limitation of this sequence of solutions is the desired solution. This proved the existence.

Key words: backward stochastic differential equation, integrable parameters, monotonic generator, H\"{o}lder continuous, existence and uniqueness

CLC Number: