Article ISI SCOPUS
BERNOULLI  (2002)

On the existence or non-existence of solutions for certain backward stochastic differential equations

Lepeltier, JP; San Martin, J

Abstract

We investigate the existence of (local) solutions and explosions for backward stochastic differential equations with generator |f(t, ?, y, z)| ? G(y) + F(y)R(z), where G, F, R are continuous, G is increasing in ?+ (decreasing in R-) and R is subquadratic. We study in detail the case f(t, ?, y, z) = G(y) + A|z|2. © 2002 ISI/BS.

Más información

Título según WOS: On the existence or non-existence of solutions for certain backward stochastic differential equations
Título según SCOPUS: On the existence or non-existence of solutions for certain backward stochastic differential equations
Título de la Revista: BERNOULLI
Volumen: 8
Número: 1
Editorial: INT STATISTICAL INST
Fecha de publicación: 2002
Página de inicio: 123
Página final: 137
Idioma: English
Notas: ISI, SCOPUS