On the existence or non-existence of solutions for certain backward stochastic differential equations

zbMath1007.60051MaRDI QIDQ1611568

Jean-Pierre Lepeltier, Jaime San Martín

Publication date: 15 October 2002

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equationsexplosion time

Mathematics Subject Classification ID

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

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Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions ⋮ Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps ⋮ A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Completeness of security markets and solvability of linear backward stochastic differential equations ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.

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