The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth

Renzhi Qiu; Shanjian Tang

doi:10.1186/s41546-019-0037-3

Article Contents

2019, Volume 4: 3. Doi: 10.1186/s41546-019-0037-3

This volume Previous Article Law of large numbers and central limit theorem under nonlinear expectations Next Article Piecewise constant martingales and lazy clocks

The Cauchy problem of Backward Stochastic Super-Parabolic Equations with Quadratic Growth

Renzhi Qiu¹ and
Shanjian Tang^2, ,

1. School of Mathematical Sciences, Fudan University, Shanghai 200433, China;
2. Department of Finance and Control Sciences, School of Mathematical Sciences, Fudan University, and Key Laboratory of Mathematics for Nonlinear Sciences(Fudan University), Ministry of Education, Shanghai 200433, China

Shanjian Tang, sjtang@fudan.edu.cn

Received: November 25, 2018

Revised: March 11, 2019

Published: July 2019

Both Qiu and Tang acknowledge research supported by the National Science Foundation of China (Grants Nos. 11631004 and 11171076), by the Science and Technology Commission, Shanghai Municipality (Grant No. 14XD1400400), and by the Shanghai Key Laboratory for Contemporary Applied Mathematics, Fudan University.

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Abstract

The paper is devoted to the Cauchy problem of backward stochastic superparabolic equations with quadratic growth. We prove two Itô formulas in the whole space. Furthermore, we prove the existence of weak solutions for the case of one-dimensional state space, and the uniqueness of weak solutions without constraint on the state space.

Keywords:

Backward stochastic differential equation,
Quadratic growth,
Weak solution,
Super-parabolic,
Itô's formula.

Mathematics Subject Classification: 60H15;35R60;93E20.

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