Some generic properties in backward stochastic differential equations with continuous coefficient (Q2724974)
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scientific article; zbMATH DE number 1618513
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| English | Some generic properties in backward stochastic differential equations with continuous coefficient |
scientific article; zbMATH DE number 1618513 |
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Some generic properties in backward stochastic differential equations with continuous coefficient (English)
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12 July 2001
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backward stochastic differential equations
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existence and uniqueness of solutions
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0.94330025
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0.93663055
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0.93217963
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0.92655945
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0.9255749
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0.92043686
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0.9198307
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It is known that the backward stochastic differential equations (BSDE) NEWLINE\[NEWLINEY_t= \xi+ \int^1_t f(s, Y_s, Z_s) ds- \int^1_t Z_s dW_s,\quad 0\leq t\leq 1,NEWLINE\]NEWLINE in \(\mathbb{R}^d\) with globally Lipschitz coefficient \(f\) have unique solutions. The authors prove that most BSDE with coefficient bounded and continuous in both variables \(y\) and \(z\) have unique solutions as well.
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