Well-posedness of backward stochastic differential equations with general filtration (Q1945854)

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Well-posedness of backward stochastic differential equations with general filtration
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    Well-posedness of backward stochastic differential equations with general filtration (English)
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    17 April 2013
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    The purpose of this paper is to show that the semilinear equation \[ dy(t)=f(t,y(t),Y(t))dt+Y(t)dw(t),\;y(T)=y_T,\quad t \in [0,T], \] is well-posed in the sense of the transposition solution \( (y(.),Y(.)) \) which coincides with the usual strong solution when the filtration is natural (see, e.g., [\textit{J. Yong} and \textit{X. Y. Zhou} Stochastic controls. Hamiltonian systems and HJB equations. New York, NY: Springer (1999; Zbl 0943.93002), 353--354]), and it is more flexible for the case of general filtration without using the martingale representation theorem. Section 3 is addressed to the well-posedness of the linear equation \(dy(t)= f(t)dt+Y(t)dw(t)\) and Section 4 to the well-posedness of the semilinear equation. A comparision theorem for transposition solutions in one dimension and a Pontryagin-type stochastic maximum principle are also presented in the last two sections.
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    backward stochastic differential equations
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    transposition solution
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    filtration
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    comparison theorem
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    stochastic maximum principle
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