Second Order Backward Stochastic Differential Equations under Monotonicity Condition

Dylan Possamaï

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arXiv · 1201.1049

Second Order Backward Stochastic Differential Equations under Monotonicity Condition

Dylan Possamaï

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Abstract

In a recent paper, Soner, Touzi and Zhang [20] have introduced a notion of second order backward stochastic differential equations (2BSDEs for short), which are naturally linked to a class of fully non-linear PDEs. They proved existence and uniqueness for a generator which is uniformly Lipschitz in the variables $y$ and $z$. The aim of this paper is to extend these results to the case of a generator satisfying a monotonicity condition in $y$. More precisely, we prove existence and uniqueness for 2BSDEs with a generator which is Lipschitz in $z$ and uniformly continuous with linear growth in $y$. Moreover, we emphasize throughout the paper the major difficulties and differences due to the 2BSDE framework.

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Dylan Possamaï. 2014-04-11. Second Order Backward Stochastic Differential Equations under Monotonicity Condition. https://arxiv.org/abs/1201.1049

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