A priori estimates for multidimensional BSDEs with integrable data

2022/08/06 by Klimsiak, Tomasz, Rzymowski, Maurycy · 1 citation
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2208.03590

Abstract

We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are merely integrable. Moreover, the generator is assumed to be non-increasing with respect to the value variable (with no restrictions on the growth) and Lipschitz continuous, with sublinear growth, with respect to the control variable. We provide a priori estimate and stability result for solutions to the aforementioned BSDEs.

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