Backward stochastic differential equations with continuous coefficient

Lepeltier J.-P.; San Martin, J

Abstract

"We prove the existence of a solution for ""one dimensional"" backward stochastic differential equations where the coefficient is continuous, it has a linear growth, and the terminal condition is squared integrable. We also obtain the existence of a minimal solution."

Más información

Título de la Revista: STATISTICS PROBABILITY LETTERS
Volumen: 32
Número: 4
Editorial: ELSEVIER SCIENCE BV
Fecha de publicación: 1997
Página de inicio: 425
Página final: 430
URL: http://www.scopus.com/inward/record.url?eid=2-s2.0-0031116187&partnerID=q2rCbXpz
DOI:

10.1016/S0167-7152(96)00103-4