One-dimensional BSDEs with monotonic, H\"{o}lder continuous and Integrable parameters
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摘要: 建立了具有可积参数的一维倒向随机微分方程~(BSDE)~解的一个存在唯一性结果, 其中生成元~$g$~关于~$y$~单调且关于~$z$~是~$\alpha-$H\{o}lder($0\alpha1$)~连续的. 利用~Tanaka~公式及~Girsanov~变换建立~BSDE~的~$L^1$~解的一个比较定理, 从而得到解的唯一性. 使用卷积技术给出生成元~$g$~的一个一致逼近序列并借助于它构造出~BSDE~的~$L^1$~解的一个序列, 然后证明其极限即为所需的解, 从而证明解的存在性.
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关键词:
- 倒向随机微分方程 /
- 可积参数 /
- 单调生成元 /
- H\{o}lder~连续 /
- 存在唯一性
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 ($0\alpha1$) 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. -
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