L^p-solutions of backward stochastic differential equations with time-delayed generators

2021/10/02 by Yong Ren, Ren, Yong, Jean Marc Owo +3
Economics, Econometrics and Finance · Engineering · #Stochastic processes and financial applications #Stability and Controllability of Differential Equations #Credit Risk and Financial Regulations

paper · pdf · doi:10.48550/arxiv.2110.00754

Abstract

This article is devoted to study the class of backward stochastic differential equation with delayed generator. We suppose the terminal value and the generator to be L^p-integrable with p>1. We derive a new type of estimation related to this BSDE. Next, we establish the existence and uniqueness result in two ways. First, an approximation technics used by Briand et al. (Stochastic Process. Appl. 108 (2003) 109-129) and hence the well-know Picard iterative procedure. Using Picard iterative procedure, we revisit the result of Dos Reis et al. (Stochastic Process. Appl. 121 (9) (2011) 2114-2150), simplifying the proof and give an explicit existence and uniqueness condition related to the Lipschitz constant K and the terminal time T.

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