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One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z
Abstract
In this paper we study one-dimensional BSDE's whose coefficient f is monotonic in y and non-Lipschitz in z. We obtain a general existence result when f has at most quadratic growth in z and ξ is bounded. We study the special case f(t, y, z) = z p where p ∈ (1, 2]. Finally, we study the case f has a linear growth in z, general growth in y and ξ is not necessarily bounded. © 2007 ISI/BS.
Más información
| Título según WOS: | One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z |
| Título según SCOPUS: | One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z |
| Título de la Revista: | BERNOULLI |
| Volumen: | 13 |
| Número: | 1 |
| Editorial: | INT STATISTICAL INST |
| Fecha de publicación: | 2007 |
| Página de inicio: | 80 |
| Página final: | 91 |
| Idioma: | English |
| URL: | http://projecteuclid.org/euclid.bj/1175287721 |
| DOI: |
10.3150/07-BEJ5004 |
| Notas: | ISI, SCOPUS |