General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

Tingting Li; Ziheng Xu; Shengjun Fan

doi:10.3934/puqr.2021015

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December 2021, 6(4): 301-318. doi: 10.3934/puqr.2021015

General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

Tingting Li , Ziheng Xu and Shengjun Fan ^,

1.	School of Mathematics, China University of Mining and Technology, Xuzhou 221116, Jiangsu, China

f_s_j@126.com (Shengjun Fan)

Received July 04, 2021 Accepted October 27, 2021 Published December 2021

Fund Project: The authors are greatly grateful to the referee for his/her careful reading and valuable suggestions.Fan’s research is partially supported by the Fundamental Research Funds for the CentralUniversities (Grant No. 2017XKZD11) and the National Natural Science Foundation of China(Grant No. 12171471).

This paper establishes an existence and uniqueness result for the adapted solution of a general time interval multidimensional backward stochastic differential equation (BSDE), where the generator $ g $ satisfies a weak stochastic-monotonicity condition and a general growth condition in the state variable $ y $, and a stochastic-Lipschitz condition in the state variable $ z $. This unifies and strengthens some known works. In order to prove this result, we develop some ideas and techniques employed in Xiao and Fan [25] and Liu et al. [15]. In particular, we put forward and prove a stochastic Gronwall-type inequality and a stochastic Bihari-type inequality, which generalize the classical ones and may be useful in other applications. The martingale representation theorem, Itô’s formula, and the BMO martingale tool are used to prove these two inequalities.

Keywords: Backward stochastic differential equation, General time interval, Weak stochastic-monotonicity condition, Existence and uniqueness, Stochastic Gronwall-type inequality, Stochastic Bihari-type inequality.

Mathematics Subject Classification: 60H10.

Citation: Tingting Li, Ziheng Xu, Shengjun Fan. General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition. Probability, Uncertainty and Quantitative Risk, 2021, 6 (4) : 301-318. doi: 10.3934/puqr.2021015

References:

[1]	Bender, C. and Kohlmann, M., BSDES with stochastic lipschitz condition, In: CoFE-Diskussionspapiere/Zentrum für Finanzen und Ökonometrie, 2000, http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4241.
[2]	Bismut, J., Conjugate convex functions in optimal stochastic control, J. Math. Anal. Appl., 1973, 44(2): 384−404.
[3]	Briand, P. and Confortola, F., BSDEs with stochastic lipschitz condition and quadratic PDEs in Hilbert spaces, Stochastic Process. Appl., 2008, 118(5): 818−838.
[4]	Briand, P., Delyon, B., Hu, Y., Pardoux, E. and Stoica, L., $ L^p $ solutions of backward stochastic differential equations, Stochastic Process. Appl., 2003, 108(1): 109−129. doi: 10.1016/S0304-4149(03)00089-9.
[5]	Chen, Z. and Wang, B., Infinite time interval BSDEs and the convergence of $ g\text{-}{\rm{martingales}} $, Journal of the Australian Mathematical Society (Series A), 2000, 69(2): 187−211. doi: 10.1017/S1446788700002172.
[6]	Delaen, F. and Tang, S., Harmonic analysis of stochastic equations and backward stochastics differential equations, Probab. Theory Relat. Fields, 2010, 146(1−2): 291−336. doi: 10.1007/s00440-008-0191-5.
[7]	Ding, X. and Wu, R., A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales, Stochastic Process. Appl., 1998, 78(2): 155−171. doi: 10.1016/S0304-4149(98)00051-9.
[8]	El Karoui, N. and Huang, S., A general result of existence and uniqueness of backward stochastic differential equations, In: Backward Stochastic Differential Equations, Pitman Research Notes in Mathematics Series, Longman, London, 1997, 364: 27−36.
[9]	El Karoui, N., Peng, S. and Quenez, M. C., Backward stochastic differential equations in finance, Math. Finance, 1997, 7(1): 1−71. doi: 10.1111/1467-9965.00022.
[10]	Fan, S., $ L^p $ solutions of multidimensional BSDEs with weak monotonicity and general growth generators, J. Math. Anal. Appl., 2015, 432(1): 156−178. doi: 10.1016/j.jmaa.2015.06.049.
[11]	Fan, S., Bounded solutions, $ L^p\ (p>1) $ solutions and $ L^1 $ solutions for one-dimensional BSDEs under general assumptions, Stochastic Process. Appl., 2016, 126(5): 1511−1552. doi: 10.1016/j.spa.2015.11.012.
[12]	Fan, S. and Jiang, L., Multidimensional BSDEs with weak monotonicity and general growth generators, Acta Mathematica Sinica, English Series, 2013, 29(10): 1885−1906. doi: 10.1007/s10114-013-2128-x.
[13]	Fan, S., Jiang, L. and Davison, M., Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type, Front. Math. China, 2013, 8(4): 811−824. doi: 10.1007/s11464-013-0298-6.
[14]	Kazamaki, N., Continuous exponential martingals and BMO, In: Lecture Notes in Math., Springer, Berlin, 1994.
[15]	Liu, Y., Li, D. and Fan, S., $ L^p\ (p > 1) $ solutions of BSDEs with generators satisfying some non-uniform conditions in $ t $ and $ \omega $, Chinese Ann. Math. B, 2020, 41(3): 479−494. doi: 10.1007/s11401-020-0212-y.
[16]	Luo, H. and Fan, S., Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions, Stoch. Dynam., 2018, 18(5): 1850034.
[17]	Mao, X., Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients, Stochastic Process. Appl., 1995, 58(2): 281−292. doi: 10.1016/0304-4149(95)00024-2.
[18]	Morlais, M. A., Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem, Finance Stoch., 2009, 13: 121−150. doi: 10.1007/s00780-008-0079-3.
[19]	Pardoux, E., BSDEs, weak convergence and homogenization of semilinear PDEs, In: Clarke, F. and Stern, R. (eds.), Nonlinear Analysis, Differential Equations and Control, Kluwer Academic, New York, 1999.
[20]	Pardoux, E. and Peng, S., Adapted solution of a backward stochastic differential equation, Syst. Control Lett., 1990, 14(1): 55−61. doi: 10.1016/0167-6911(90)90082-6.
[21]	Pardoux, E. and Ră ${\underset{\raise0.4em\hbox{$\smash{\scriptscriptstyle\cdot}$}}{{\rm{s}}} }$ scanu, A., Stochastic Differential Equations, Backward SDEs, Partial Differential Equations, Springer, Cham, 2014.
[22]	Peng, S., Nonlinear expectations, nonlinear evaluations and risk measures, In: Stochastic Methods in Finance, Lecture Notes in Math, Springer, Berlin, 2004, 1856: 165−253.
[23]	Wang, J., Ran, Q. and Chen, Q., $L^p$ solutions of BSDEs with stochastic lipschitz condition, J. Appl. Math. Stoch. Anal., 2007, 2007: 78196.
[24]	Wang, X. and Fan, S., A class of stochastic Gronwall’s inequality and its application, Journal of Inequalities and Applications, 2018, 2018(1): 336.
[25]	Xiao, L. and Fan, S., General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales, Stochastics, 2017, 89(5): 786−816. doi: 10.1080/17442508.2017.1282956.

show all references

References:

[1]	Bender, C. and Kohlmann, M., BSDES with stochastic lipschitz condition, In: CoFE-Diskussionspapiere/Zentrum für Finanzen und Ökonometrie, 2000, http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4241.
[2]	Bismut, J., Conjugate convex functions in optimal stochastic control, J. Math. Anal. Appl., 1973, 44(2): 384−404.
[3]	Briand, P. and Confortola, F., BSDEs with stochastic lipschitz condition and quadratic PDEs in Hilbert spaces, Stochastic Process. Appl., 2008, 118(5): 818−838.
[4]	Briand, P., Delyon, B., Hu, Y., Pardoux, E. and Stoica, L., $ L^p $ solutions of backward stochastic differential equations, Stochastic Process. Appl., 2003, 108(1): 109−129. doi: 10.1016/S0304-4149(03)00089-9.
[5]	Chen, Z. and Wang, B., Infinite time interval BSDEs and the convergence of $ g\text{-}{\rm{martingales}} $, Journal of the Australian Mathematical Society (Series A), 2000, 69(2): 187−211. doi: 10.1017/S1446788700002172.
[6]	Delaen, F. and Tang, S., Harmonic analysis of stochastic equations and backward stochastics differential equations, Probab. Theory Relat. Fields, 2010, 146(1−2): 291−336. doi: 10.1007/s00440-008-0191-5.
[7]	Ding, X. and Wu, R., A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales, Stochastic Process. Appl., 1998, 78(2): 155−171. doi: 10.1016/S0304-4149(98)00051-9.
[8]	El Karoui, N. and Huang, S., A general result of existence and uniqueness of backward stochastic differential equations, In: Backward Stochastic Differential Equations, Pitman Research Notes in Mathematics Series, Longman, London, 1997, 364: 27−36.
[9]	El Karoui, N., Peng, S. and Quenez, M. C., Backward stochastic differential equations in finance, Math. Finance, 1997, 7(1): 1−71. doi: 10.1111/1467-9965.00022.
[10]	Fan, S., $ L^p $ solutions of multidimensional BSDEs with weak monotonicity and general growth generators, J. Math. Anal. Appl., 2015, 432(1): 156−178. doi: 10.1016/j.jmaa.2015.06.049.
[11]	Fan, S., Bounded solutions, $ L^p\ (p>1) $ solutions and $ L^1 $ solutions for one-dimensional BSDEs under general assumptions, Stochastic Process. Appl., 2016, 126(5): 1511−1552. doi: 10.1016/j.spa.2015.11.012.
[12]	Fan, S. and Jiang, L., Multidimensional BSDEs with weak monotonicity and general growth generators, Acta Mathematica Sinica, English Series, 2013, 29(10): 1885−1906. doi: 10.1007/s10114-013-2128-x.
[13]	Fan, S., Jiang, L. and Davison, M., Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type, Front. Math. China, 2013, 8(4): 811−824. doi: 10.1007/s11464-013-0298-6.
[14]	Kazamaki, N., Continuous exponential martingals and BMO, In: Lecture Notes in Math., Springer, Berlin, 1994.
[15]	Liu, Y., Li, D. and Fan, S., $ L^p\ (p > 1) $ solutions of BSDEs with generators satisfying some non-uniform conditions in $ t $ and $ \omega $, Chinese Ann. Math. B, 2020, 41(3): 479−494. doi: 10.1007/s11401-020-0212-y.
[16]	Luo, H. and Fan, S., Bounded solutions for general time interval BSDEs with quadratic growth coefficients and stochastic conditions, Stoch. Dynam., 2018, 18(5): 1850034.
[17]	Mao, X., Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients, Stochastic Process. Appl., 1995, 58(2): 281−292. doi: 10.1016/0304-4149(95)00024-2.
[18]	Morlais, M. A., Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem, Finance Stoch., 2009, 13: 121−150. doi: 10.1007/s00780-008-0079-3.
[19]	Pardoux, E., BSDEs, weak convergence and homogenization of semilinear PDEs, In: Clarke, F. and Stern, R. (eds.), Nonlinear Analysis, Differential Equations and Control, Kluwer Academic, New York, 1999.
[20]	Pardoux, E. and Peng, S., Adapted solution of a backward stochastic differential equation, Syst. Control Lett., 1990, 14(1): 55−61. doi: 10.1016/0167-6911(90)90082-6.
[21]	Pardoux, E. and Ră ${\underset{\raise0.4em\hbox{$\smash{\scriptscriptstyle\cdot}$}}{{\rm{s}}} }$ scanu, A., Stochastic Differential Equations, Backward SDEs, Partial Differential Equations, Springer, Cham, 2014.
[22]	Peng, S., Nonlinear expectations, nonlinear evaluations and risk measures, In: Stochastic Methods in Finance, Lecture Notes in Math, Springer, Berlin, 2004, 1856: 165−253.
[23]	Wang, J., Ran, Q. and Chen, Q., $L^p$ solutions of BSDEs with stochastic lipschitz condition, J. Appl. Math. Stoch. Anal., 2007, 2007: 78196.
[24]	Wang, X. and Fan, S., A class of stochastic Gronwall’s inequality and its application, Journal of Inequalities and Applications, 2018, 2018(1): 336.
[25]	Xiao, L. and Fan, S., General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales, Stochastics, 2017, 89(5): 786−816. doi: 10.1080/17442508.2017.1282956.

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American Institute of Mathematical Sciences

General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

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General time interval multidimensional BSDEs with generators satisfying a weak stochastic-monotonicity condition

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