Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values

Abstract

In this paper, we study a scalar linearly growing BSDE with a weakly $L^{1+}$-integrable terminal value. We prove that the BSDE admits a solutionif the terminal value satisfies some $\Psi$-integrability condition, which is weaker than the usual $L^p$ ($p>1$) integrability and stronger than $L\log L$ integrability. We show by a counterexample that $L\log L$ integrability is not sufficient for the existence of solutionto a BSDE of a linearly growing generator.

Cited by in corpus (2)

• Existence and uniqueness results for BSDEs with jumps: the whole nine yards
• Solving Unbounded Quadratic BSDEs by a Domination Method