A generalized existence theorem of BSDEs (Q2499673)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A generalized existence theorem of BSDEs |
scientific article |
Statements
A generalized existence theorem of BSDEs (English)
0 references
14 August 2006
0 references
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.
0 references
backward stochastic differential equation
0 references
existence
0 references
