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.
Authors
- Shengjun Fan (ORCID: https://orcid.org/0000-0003-1728-8568)
- Xinying Li
Institutions
- Twitter (United States) (US)
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
- Field-Weighted Citation Impact
- 0.00