Backward stochastic differential equations with stochastic monotone coefficients英文文献资料.docVIP

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Backward stochastic differential equations with stochastic monotone coefficients英文文献资料.doc

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Backward stochastic differential equations with stochastic monotone coefficients英文文献资料

BACKWARDSTOCHASTICDIFFERENTIALEQUATIONS WITHSTOCHASTICMONOTONECOEFFICIENTS K.BAHLALI,A.ELOUAFLIN,ANDM.N’ZI Received25October2003andinrevisedform24June2004 Weproveanexistence anduniqueness resultforbackward stochastic di?erential equa- tions whose coe?cients satisfy astochastic monotonicity condition. Inthissetting, we dealwith bothconstant andrandom terminal times. Intherandom case,theterminal timeisallowedtotakein?nitevalues.ButinaMarkovianframework,thatiscoupledwith aforwardSDE,ourresultprovidesaprobabilisticinterpretationofsolutionstononlinear PDEs. 1.Introduction Backward stochastic di?erential equations (BSDEs), introduced by Pardoux and Peng [10],havebeenintensivelystudiedinthelastyears.Thisclassofequationsisapowerful tool togiveprobabilistic formulas for solutions ofsemilinear partial di?erential equa- tions(PDEs). Wereferthereaderto[8,9]foragoodpresentation ofBSDEs andtheir connections toPDEs.Theseequationshavefoundabroadareaofapplications, namely, instochastic optimal control (see[7]), mathematical ?nance (see[6]). Manyexistence and uniqueness results have been proved in relaxing the uniform Lipschitz condition on the coe?cient. Among others, we refer to those with monotonicity condition (see [1,3,4]).Inthissetting(inrelaxingtheLipschitzcondition),BenderandKohlmann[2] recentlyconsideredtheso-calledstochasticLipschitzconditionintroducedbyElKaroui andHuang[5]anddealtwithBSDEswithrandomterminaltime.Indeed,theLipschitz coe?cientisallowedtobean?t-adaptedprocess.Doingso,onemustreinforcethein- tegrability conditions onthe data aswell asonthe solutions. The interest inthis type ofextensionoftheclassicalexistenceanduniquenessresultcomesfromthefactthat,in many applications, the usual Lipschitz condition cannot besatis?ed. Forexample, the pricingofaEuropeanclaimisequivalenttosolvingthelinearBSDE ?dYt= r(t)Y(t)+θ(t)Z(t) dt?Z(t)dWt, YT=ξ, (1.1) Copyright?2004HindawiPublishingCorporation JournalofAppliedMathematicsandStochasticAnalysis2004:4(2004)317–