Existence, uniqueness and stability of $L^1$ solutions for multidimensional BSDEs with generators of one-sided Osgood type (1701.04152v1)

Abstract: We establish a general existence and uniqueness result of $L^1$ solution for a multidimensional backward stochastic differential equation (BSDE for short) with generator $g$ satisfying a one-sided Osgood condition as well as a general growth condition in $y$, and a Lipschitz condition together with a sublinear growth condition in $z$, which improves some existing results. In particular, we put forward and prove a stability theorem of the $L^1$ solutions for the first time. A new type of $L^1$ solution is also investigated. Some delicate techniques involved in the relationship between convergence in $L^1$ and in probability and dividing appropriately the time interval play crucial roles in our proofs.