4.3 Article

Multidimensional BSDEs with weak monotonicity and general growth generators

Journal

ACTA MATHEMATICA SINICA-ENGLISH SERIES
Volume 29, Issue 10, Pages 1885-1906

Publisher

SPRINGER HEIDELBERG
DOI: 10.1007/s10114-013-2128-x

Keywords

Backward stochastic differential equation; existence and uniqueness; weak monotonicity condition; general growth condition; comparison theorem

Funding

  1. National Natural Science Foundation of China [11101422]
  2. Fundamental Research Funds for the Central Universities [2012QNA36]

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This paper aims at solving a multidimensional backward stochastic differential equation (BSDE) whose generator g satisfies a weak monotonicity condition and a general growth condition in y. We first establish an existence and uniqueness result of solutions for this kind of BSDEs by using systematically the technique of the priori estimation, the convolution approach, the iteration, the truncation and the Bihari inequality. Then, we overview some assumptions related closely to the monotonicity condition in the literature and compare them in an effective way, which yields that our existence and uniqueness result really and truly unifies the Mao condition in y and the monotonicity condition with the general growth condition in y, and it generalizes some known results. Finally, we prove a stability theorem and a comparison theorem for this kind of BSDEs, which also improves some known results.

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