Weak solutions of backward stochastic differential equations with continuous generator

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Abstract: We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) Y_t=xi+int_t^T f(s,X_s,Y_s,Z_s),ds-int_t^T Z_s,dwien_s in a finite-dimensional space, where f(t,x,y,z) is affine with respect to z, and satisfies a sublinear growth condition and a continuity condition This solution takes the form of a triplet (Y,Z,L) of processes defined on an extended probability space and satisfying Y_t=xi+int_t^T f(s,X_s,Y_s,Z_s),ds-int_t^T Z_s,dwien_s-(L_T-L_t) where L is a continuous martingale which is orthogonal to any wien. The solution is constructed on an extended probability space, using Young measures on the space of trajectories. One component of this space is the Skorokhod space D endowed with the topology S of Jakubowski.




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