In this paper, we establish the existence of the minimal Lp （p 〉 1） solution of backward stochastic differential equations （BSDEs） where the time horizon may be finite or infinite and the generators have a non-un...In this paper, we establish the existence of the minimal Lp （p 〉 1） solution of backward stochastic differential equations （BSDEs） where the time horizon may be finite or infinite and the generators have a non-uniformly linear growth with respect to t. The main idea is to construct a sequence of solutions {（Yn, Zn）} which is a Cauchy sequence in Sp × Mp space, and finally we prove {（Yn, Zn）} converges to the Lp （p 〉 1） solution of BSDEs.展开更多
基金Supported by the National Natural Science Foundation of China(Grant No.11371362)the Fundamental Research Funds for the Central Universities(Grant No.2012LWB48)
文摘In this paper, we establish the existence of the minimal Lp （p 〉 1） solution of backward stochastic differential equations （BSDEs） where the time horizon may be finite or infinite and the generators have a non-uniformly linear growth with respect to t. The main idea is to construct a sequence of solutions {（Yn, Zn）} which is a Cauchy sequence in Sp × Mp space, and finally we prove {（Yn, Zn）} converges to the Lp （p 〉 1） solution of BSDEs.
