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L p solution of general mean-field BSDEs with continuous coefficients
Acta Mathematica Scientia ( IF 1.2 ) Pub Date : 2020-06-05 , DOI: 10.1007/s10473-020-0417-x
Yajie Chen , Chuanzhi Xing , Xiao Zhang

In this paper we consider one dimensional mean-field backward stochastic differential equations (BSDEs) under weak assumptions on the coefficient. Unlike [3], the generator of our mean-field BSDEs depends not only on the solution (Y, Z) but also on the law PY of Y. The first part of the paper is devoted to the existence and uniqueness of solutions in Lp, 1 < p ≤ 2, where the monotonicity conditions are satisfied. Next, we show that if the generator f is uniformly continuous in (μ, y, z), uniformly with respect to (t, ω), and if the terminal value ξ belongs to Lp(Ω, F, P) with 1 < p ≤ 2, the mean-field BSDE has a unique Lp solution.

中文翻译:

具有连续系数的一般平均场BSDE的L p解

在本文中,我们考虑了在系数的弱假设下的一维平均场后向随机微分方程(BSDE)。不同于[3],我们的平均场倒向随机微分方程的生成不是只依赖于溶液(Y,Z),而且对法律P Ÿÿ。纸的所述第一部分是专门存在唯一的解决方案中的大号p,1 < p ≤2,其中单调性条件被满足。接下来,我们证明如果生成器f在(μ,y,z)中是均匀连续的,相对于(t,ω)是均匀连续的,并且终值ξ属于Lp(Ω, ˚F P)以1 < p ≤2,平均场BSDE具有独特的大号p溶液。
更新日期:2020-06-05
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