Some generic properties in backward stochastic differential equations with continuous coefficient

DOI10.1515/MCMA.2001.7.1-2.15MaRDI QIDQ2724974zbMATH OpenOpenAlexFDO

Authors Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine

Publication date 12 July 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2001.7.1-2.15

zbMATH Keywords

backward stochastic differential equationsexistence and uniqueness of solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

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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Cited in

(8)

• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• The uniqueness of solutions of perturbed backward stochastic differential equations
• On existence of solutions of BSDEs with continuous coefficient
• Prevalence of backward stochastic differential equations with unique solution
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
• On the uniqueness result for the BSDE with deterministic coefficient
• On the set of solutions of a BSDE with continuous coefficient

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