Article Dans Une Revue Systems and Control Letters Année : 2023

L1 solution to scalar BSDEs with logarithmic sub-linear growth generators ✩

Résumé

By developing the test function method and combining the localization technique, we prove existence of an L 1 solution to a one-dimensional backward stochastic differential equation (BSDE for short) with L 1 terminal condition when the generator g has a one-sided linear growth in the first unknown variable y and a logarithmic sub-linear growth in the second unknown variable z, which improves some existing results. A new idea to study existence of an adapted solution to a BSDE is given. When the generator g additionally satisfies a one-sided Osgood condition in y and a logarithmic uniform continuity condition in z, we further establish a comparison theorem for the L 1 solutions to the above BSDEs, which yields immediately the uniqueness of the solution.

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hal-03681198 , version 1 (30-05-2022)

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Shengjun Fan, Ying Hu, Shanjian Tang. L1 solution to scalar BSDEs with logarithmic sub-linear growth generators ✩. Systems and Control Letters, 2023, 177, pp.article n° 105553. ⟨10.1016/j.sysconle.2023.105553⟩. ⟨hal-03681198⟩
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