arXiv subjects

ShengJun Fan

Publications and source records attributed to ShengJun Fan.

9 recordsLinked to original sources

arXiv2017

$L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions

We establish several existence, uniqueness and comparison results for $L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator $g$ satisfies a one-sided Osgood condition together with a very general growth condition in $y$, a uniform continuity condition and/or a sub-linear growth condition in $z$, and a generalized Mokobodzki condition which relates the growth of $g$ and that of the barriers. This generalized Mokobodzki condition is proved to be necessary for existence of $L^1$ solutions of the reflected BSDEs. We also prove that the $L^1$ solutions of reflected BSDEs can be approximated by the penalization method and by some sequences of $L^1$ solutions of reflected BSDEs. These results strengthen some existing work on the $L^1$ solutions of non-reflected BSDEs and reflected BSDEs.

math.PR↗

arXiv2017

$L^1$ solutions to one-dimensional BSDEs with sublinear growth generators in $z$

This paper aims at solving a one-dimensional backward stochastic differential equation (BSDE for short) with only integrable parameters. We first establish the existence of a minimal $L^1$ solution for the BSDE when the generator $g$ is stronger continuous in $(y,z)$ and monotonic in $y$ as well as it has a general growth in $y$ and a sublinear growth in $z$. Particularly, the $g$ may be not uniformly continuous in $z$. Then, we put forward and prove a comparison theorem and a Levi type theorem on the minimal $L^1$ solutions. A Lebesgue type theorem on $L^1$ solutions is also obtained. Furthermore, we investigate the same problem in the case that $g$ may be discontinuous in $y$. Finally, we prove a general comparison theorem on $L^1$ solutions when $g$ is weakly monotonic in $y$ and uniformly continuous in $z$ as well as it has a stronger sublinear growth in $z$. As a byproduct, we also obtain a general existence and unique theorem on $L^1$ solutions. Our results extend some known works.

math.PR↗

arXiv2017

Existence, uniqueness and stability of $L^1$ solutions for multidimensional BSDEs with generators of one-sided Osgood type

We establish a general existence and uniqueness result of $L^1$ solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator $g$ satisfying a one-sided Osgood condition as well as a general growth condition in $y$, and a Lipschitz condition together with a sublinear growth condition in $z$, which improves some existing results. In particular, we put forward and prove a stability theorem of the $L^1$ solutions for the first time. A new type of $L^1$ solution is also investigated. Some delicate techniques involved in the relationship between convergence in $L^1$ and in probability and dividing appropriately the time interval play crucial roles in our proofs.

math.PR↗

arXiv2015

Existence, uniqueness and approximation for $L^p$ solutions of reflected BSDEs under weaker assumptions

We put forward and prove several existence and uniqueness results for $L^p\ (p>1)$ solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in $y$ and a uniform continuity condition or a linear growth condition in $z$. A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. Our results improve considerably some known works.

math.PR↗

arXiv2015

Bounded solutions, $L^p (p>1)$ solutions and $L^1$ solutions for one-dimensional BSDEs under general assumptions

This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p (p>1)$ solutions and $L^1$ solutions of the BSDEs. The time horizon is allowed to be finite or infinite, and the generator $g$ is allowed to have a general growth in $y$ and a quadratic growth in $z$. As compensation, the generator $g$ needs to satisfy a kind of one-sided linear or super-linear growth condition in $y$, instead of the monotonicity condition in $y$ as is usually done. Many of our results improve virtually some known results, even though for the case of the finite time horizon and the case of the $L^2$ solution.

math.PR↗

arXiv2014

$L^p$ solutions of multidimensional BSDEs with weak monotonicity and general growth generators

In this paper, we first establish the existence and uniqueness of $L^p\ (p>1)$ solutions for multidimensional backward stochastic differential equations (BSDEs) under a weak monotonicity condition together with a general growth condition in $y$ for the generator $g$. Then, we overview several conditions related closely to the weak monotonicity condition and compare them in an effective way. Finally, we put forward and prove a stability theorem and a comparison theorem of $L^p\ (p>1)$ solutions for this kind of BSDEs.

math.PR↗

arXiv2014

$L^p$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients

In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) in $L^p\ (p>1)$ under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of solutions in $L^p\ (p>1)$ to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which includes the corresponding results in \citet{Par90}, \citet{Mao95}, \citet{Chen97}, \citet{Cons01}, \citet{Wang03}, \citet{Chen00} and \citet{Wang09} as its particular cases.

math.PR↗

arXiv2014

$L^p$ solutions of BSDEs with a new kind of non-Lipschitz coefficients

In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) with a new kind of non-Lipschitz coefficients. We establish an existence and uniqueness result of solutions in $L^p\ (p>1)$, which includes some known results as its particular cases.

math.PR↗

arXiv2014

A general existence and uniqueness result on multidimensional BSDEs

This paper establishes a new existence and uniqueness result of solutions for multidimensional backward stochastic differential equations (BSDEs) whose generators satisfy a weak monotonicity condition and a general growth condition in $y$, which generalizes the corresponding results in [2], [3] and [5].

math.PR↗