Multidimensional BSDEs with weak monotonicity and general growth generators

Citation
Fan, Sheng Jun et Jiang, Long, Multidimensional BSDEs with weak monotonicity and general growth generators, Acta mathematica Sinica. English series (Print) , 29(10), 2013, pp. 1885-1906
ISSN journal
14398516
Volume
29
Issue
10
Year of publication
2013
Pages
1885 - 1906
Database
ACNP
SICI code
Abstract
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.