A generalized existence theorem of BSDEs (Q2499673)
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English | A generalized existence theorem of BSDEs |
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A generalized existence theorem of BSDEs (English)
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14 August 2006
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The author proves an existence theorem for a one-dimensional backward stochastic differential equation \[ y_t=\xi+\int_t^T g(s,y_s,z_s)\,ds-\int_t^T z_s \,dW_s,\quad 0\leq t\leq T, \] with \(g\) being left-Lipschitz in \(y\) (may be discontinuous), Lipschitz in \(z\), but without explicit growth constraint.
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backward stochastic differential equation
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existence
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