Weighted $L^p(p\ge 1)$ solutions of random time horizon BSDEs with stochastic monotonicity generators

Abstract

In this paper, we are concerned with a multidimensional backward stochastic differential equation (BSDE) with a general random terminal time $\ddot{I}„$, which may take values in $[0,+\infty ]$. Firstly, we establish an existence and uniqueness result for a weighted $L^p(p>1)$ solution of the preceding BSDE with generator $g$ satisfying a stochastic monotonicity condition with general growth in the first unknown variable $y$ and a stochastic Lipschitz continuity condition in the second unknown variable $z$. Then, we derive an existence and uniqueness result for a weighted $L^1$ solution of the preceding BSDE under an additional stochastic sub-linear growth condition in $z$. These results generalize the corresponding ones obtained in \cite{Li2024} to the $L^p(p\ge 1)$ solution case. Finally, the corresponding comparison theorems for the weighted $L^p(p\ge 1)$ 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.

29 pages