Nonlinear predictable representation and L1-solutions of second-order backward SDEs

Zhenjie Ren (1) , Nizar Touzi (2) , Junjian Yang (3)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
3 TU Wien - Fakultät für Mathematik und Geoinformation [Wien]

The theory of backward SDEs extends the predictable representation property of Brownian motion to the nonlinear framework, thus providing a path-dependent analog of fully nonlinear parabolic PDEs. In this paper, we consider backward SDEs, their reflected version, and their second-order extension, in the context where the final data and the generator satisfy L1-type of integrability condition. Our main objective is to provide the corresponding existence and uniqueness results for general Lipschitz generators. The uniqueness holds in the so-called Doob class of processes, simultaneously under an appropriate class of measures. We emphasize that the previous literature only deals with backward SDEs, and requires either that the generator is separable in (y,z), see Peng [Pen97], or strictly sublinear in the gradient variable z, see [BDHPS03], or that the final data satisfies an LlnL-integrability condition, see [HT18]. We by-pass these conditions by defining L1-integrability under the nonlinear expectation operator induced by the previously mentioned class of measures.

Mots clés: Backward SDE; second-order backward SDE; nonlinear expectation; nondominated probability measures

Domaines: Mathématiques [math]

Zhenjie Ren, Nizar Touzi, Junjian Yang. Nonlinear predictable representation and L1-solutions of second-order backward SDEs. 2019. ⟨hal-02293013⟩