[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/BKMS.b160740

MINIMAL AND MAXIMAL BOUNDED SOLUTIONS FOR QUADRATIC BSDES WITH STOCHASTIC CONDITIONS

Fan, Shengjun (School of Mathematics China University of Mining and Technology)
Luo, Huanhuan (School of Mathematics China University of Mining and Technology)

Publication Information

Bulletin of the Korean Mathematical Society / v.54, no.6, 2017 , pp. 2065-2079 More about this Journal

Abstract

This paper is devoted to the minimal and maximal bounded solutions for general time interval quadratic backward stochastic differential equations with stochastic conditions. A general existence result is established by the method of convolution, the exponential transform, Girsanov's transform and a priori estimates, where the terminal time is allowed to be finite or infinite, and the generator g is allowed to have a stochastic semi-linear growth and a general growth in y, and a quadratic growth in z. This improves some existing results at some extent. Some new ideas and techniques are also applied to prove it.

Keywords

backward stochastic differential equations; minimal and maximal bounded solutions; stochastic conditions; quadratic growth;

Citations & Related Records

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