Weighted L p ( p ≥ 1) solutions of random time horizon BSDEs with stochastic monotonicity generators

In this paper, we are concerned with a multidimensional backward stochastic differential equation (BSDE) with a general random terminal time [Formula: see text], which may take values in [Formula: see text]. Firstly, we establish an existence and uniqueness result for a weighted [Formula: see text] solution of the preceding BSDE with generator [Formula: see text] satisfying a stochastic monotonicity condition with general growth in the first unknown variable [Formula: see text] and a stochastic Lipschitz continuity condition in the second unknown variable [Formula: see text]. Then, we derive an existence and uniqueness result for a weighted [Formula: see text] solution of the preceding BSDE under an additional stochastic sub-linear growth condition in [Formula: see text]. These results generalize the corresponding ones obtained in Li et al. [2024] to the [Formula: see text] solution case. Finally, the corresponding comparison theorems for the weighted [Formula: see text] solutions are also put forward and verified in the one-dimensional setting. In particular, we develop new ideas and systematical techniques in order to establish the above results.

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Publication Details

Journal
Stochastics and Dynamics
Published
2026-09-29
DOI
https://doi.org/10.1142/s0219493726500279
Primary Topic
Stochastic processes and financial applications
Type
article
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Weighted L p ( p ≥ 1) solutions of random time horizon BSDEs with stochastic monotonicity generators

Shengjun Fan, Xinying Li
Stochastics and Dynamics
Stochastic processes and financial applications
article

Weighted L p ( p ≥ 1) solutions of random time horizon BSDEs with stochastic monotonicity generators

Shengjun Fan, Xinying Li
article en

Abstract

In this paper, we are concerned with a multidimensional backward stochastic differential equation (BSDE) with a general random terminal time [Formula: see text], which may take values in [Formula: see text]. Firstly, we establish an existence and uniqueness result for a weighted [Formula: see text] solution of the preceding BSDE with generator [Formula: see text] satisfying a stochastic monotonicity condition with general growth in the first unknown variable [Formula: see text] and a stochastic Lipschitz continuity condition in the second unknown variable [Formula: see text]. Then, we derive an existence and uniqueness result for a weighted [Formula: see text] solution of the preceding BSDE under an additional stochastic sub-linear growth condition in [Formula: see text]. These results generalize the corresponding ones obtained in Li et al. [2024] to the [Formula: see text] solution case. Finally, the corresponding comparison theorems for the weighted [Formula: see text] solutions are also put forward and verified in the one-dimensional setting. In particular, we develop new ideas and systematical techniques in order to establish the above results.

Stochastics and Dynamics
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Weighted L p ( p ≥ 1) solutions of random time horizon BSDEs with stochastic monotonicity generators — Shengjun Fan, Xinying Li · Stochastics and Dynamics (2026) | TGRS Research Map | TGRS