Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(\mu sqrt(2log(1+L)))}-integrable terminal values and monotonic generators

This paper considers a class of scalar backward stochastic differential equations (BSDEs) with \(L\exp(\mu\sqrt{2\log(1+L)})\)-integrable terminal values. We associate these BSDEs with BSDEs with integrable parameters through Girsanov change. Using this technique, we prove uniqueness, comparisons an...

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Bibliographic Details
Published in:arXiv.org 2019-08
Main Authors: Hun, O, Kim, Mun-Chol, Pak, Chol-Gyu
Format: Article
Language:English
Subjects:
Differential equations
Dynamic stability
Uniqueness
Online Access:Get full text
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Summary:This paper considers a class of scalar backward stochastic differential equations (BSDEs) with \(L\exp(\mu\sqrt{2\log(1+L)})\)-integrable terminal values. We associate these BSDEs with BSDEs with integrable parameters through Girsanov change. Using this technique, we prove uniqueness, comparisons and stability for them under an extended monotonicity condition (more precisely one sided Osgood condition).
ISSN:2331-8422