Uniqueness, Comparison and Stability for Scalar BSDEs with Lexp(μsqrt(2log(1+L)))-integrable terminal values and monotonic generators

2019/03/23 by Hun O, O, Hun, Mun-Chol Kim +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #60H05 39A50 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications #demographic modeling and climate adaptation #math.PR #msc:39A50 #msc:60H05

paper · pdf · doi:10.48550/arxiv.1903.09901

14 pages

openalex publication_date 2019/03/23 · arxiv created 2019/08/31 · arxiv updated 2019/09/04 · openalex created_date 2024/04/10 · openalex updated_date 2026/07/28

Abstract

This paper considers a class of scalar backward stochastic differential equations (BSDEs) with Lexp(μ√(2log(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).

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