On existence of solutions of BSDEs with continuous coefficient
The paper considers the one-dimensional backward stochastic differential equation driven by a diffusion whose generator is a symmetric and uniformly elliptic differential operator. It is proved that if the coefficients of the equation are continuous with linear growth, then there exists a solution represented in terms of a Sobolev solution of the corresponding semilinear partial differential equation.
backward stochastic differential equation
scientific article; zbMATH DE number 2154015