Backward stochastic differential equations with stochastic monotone coefficients (Q1773286)
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scientific article; zbMATH DE number 2161826
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| English | Backward stochastic differential equations with stochastic monotone coefficients |
scientific article; zbMATH DE number 2161826 |
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Backward stochastic differential equations with stochastic monotone coefficients (English)
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26 April 2005
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Summary: We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values. But in a Markovian framework, that is coupled with a forward SDE, our result provides a probabilistic interpretation of solutions to nonlinear PDEs.
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0.8765568137168884
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0.8593955039978027
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0.846255362033844
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0.8434126973152161
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