Lp-solutions to BSDEs with super-linear growth coefficient. Application to degenerate semilinear PDEs
We consider multidimensional backward stochastic differential equations (BSDEs). We prove the existence and uniqueness of solutions when the coefficient grow super-linearly, and moreover, can be neither locally Lipschitz in the variable y nor in the variable z. This is done with super-linear growth...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2006 |
| País: | España |
| Institución: | Universitat Autònoma de Barcelona |
| Repositorio: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglés |
| OAI Identifier: | oai:ddd.uab.cat:44201 |
| Acceso en línea: | https://ddd.uab.cat/record/44201 |
| Access Level: | acceso abierto |
| Palabra clave: | Equacions estocàstiques diferencials Equacions diferencials parcials |
| Sumario: | We consider multidimensional backward stochastic differential equations (BSDEs). We prove the existence and uniqueness of solutions when the coefficient grow super-linearly, and moreover, can be neither locally Lipschitz in the variable y nor in the variable z. This is done with super-linear growth coefficient and a p-integrable terminal condition (p > 1). As application, we establish the existence and uniqueness of solutions to degenerate semilinear PDEs with superlinear growth generator and an Lp-terminal data, p > 1. Our result cover, for instance, the case of PDEs with logarithmic nonlinearities. |
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