$L^p$ $(p\ge 1)$ solutions of multidimensional BSDEs with monotone generators in general time intervals

Abstract

In this paper, we are interested in solving general time interval multidimensional backward stochastic differential equations in $L^p$ $(p\ge 1)$. We first study the existence and uniqueness for $L^p$ $(p>1)$ solutions by the method of convolution and weak convergence when the generator is monotonic in $y$ and Lipschitz continuous in $z$ both non-uniformly with respect to $t$. Then we obtain the existence and uniqueness for $L^1$ solutions with an additional assumption that the generator has a sublinear growth in $z$ non-uniformly with respect to $t$.

23 pages