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The Lp Cauchy sequence for one-dimensional BSDEs with linear growth generators

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  • Izumi, Yuki

Abstract

In this paper, the existence of Lp(p>1) solutions for one-dimensional backward stochastic differential equations will be shown directly by proving that an approximation sequence is a Cauchy one in the Lp sense.

Suggested Citation

  • Izumi, Yuki, 2013. "The Lp Cauchy sequence for one-dimensional BSDEs with linear growth generators," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1588-1594.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:6:p:1588-1594
    DOI: 10.1016/j.spl.2013.03.006
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    References listed on IDEAS

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    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    3. Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
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