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BSDEs with polynomial growth generators

Author

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  • Philippe Briand
  • René Carmona

Abstract

In this paper, we give existence and uniqueness results for backward stochastic differential equations when the generator has a polynomial growth in the state variable. We deal with the case of a fixed terminal time, as well as the case of random terminal time. The need for this type of extension of the classical existence and uniqueness results comes from the desire to provide a probabilistic representation of the solutions of semilinear partial differential equations in the spirit of a nonlinear Feynman-Kac formula. Indeed, in many applications of interest, the nonlinearity is polynomial, e.g, the Allen-Cahn equation or the standard nonlinear heat and Schrödinger equations.

Suggested Citation

  • Philippe Briand & René Carmona, 2000. "BSDEs with polynomial growth generators," International Journal of Stochastic Analysis, Hindawi, vol. 13, pages 1-32, January.
    • Handle: RePEc:hin:jnijsa:609458
    DOI: 10.1155/S1048953300000216
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    Cited by:

    1. Fan, Shengjun & Hu, Ying & Tang, Shanjian, 2023. "Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 335-375.
    2. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
    3. Stefan Kremsner & Alexander Steinicke, 2022. "$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting," Journal of Theoretical Probability, Springer, vol. 35(1), pages 231-281, March.
    4. Matoussi, A. & Piozin, L. & Popier, A., 2017. "Stochastic partial differential equations with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 831-876.

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