L ^p (p > 1) Solutions of BSDEs with Generators Satisfying Some Non-uniform Conditions in t and ω

Abstract

This paper is devoted to the L ^p (p > 1) solutions of one-dimensional backward stochastic differential equations (BSDEs for short) with general time intervals and generators satisfying some non-uniform conditions in t and ω. An existence and uniqueness result, a comparison theorem and an existence result for the minimal solutions are respectively obtained, which considerably improve some known works. Some classical techniques used to deal with the existence and uniqueness of L ^p (p > 1) solutions of BSDEs with Lipschitz or linear-growth generators are also developed in this paper.

Keywords

Backward stochastic differential equation / Existence and uniqueness / Comparison theorem / Minimal solution / Non-uniform condition in (t, ω)