The Equivalence between Uniqueness and Continuous Dependence of Solution for BSDEs with Continuous Coefficient

arXiv0803.3660MaRDI QIDQ6208895FDOQ6208895

Authors: Guangyan Jia, Zhiyong Yu 

Publication date: 25 March 2008

Abstract: In this paper, we will prove that, if the coefficient $g=g(t,y,z)$ of a BSDE is assumed to be continuous and linear growth in $(y,z)$, then the uniqueness of solution and continuous dependence with respect to $g$ and the terminal value $xi$ are equivalent.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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