Backward stochastic differential equations with stochastic monotone coefficients
type: Item
instance of: scholarly article
title: Backward stochastic differential equations with stochastic monotone coefficients
zbMATH Open document ID: 1064.60127
DOI: 10.1155/S1048953304310038
author: Khaled Bahlali
author: Modeste N'Zi
author: Abouo Elouaflin
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2005-04-26T00:00:00Z
full work available at URL: https://eudml.org/doc/51375
review text: Summary: We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values. But in a Markovian framework, that is coupled with a forward SDE, our result provides a probabilistic interpretation of solutions to nonlinear PDEs.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H20
zbMATH DE Number: 2161826
MaRDI profile type: Publication
OpenAlex ID: W2033363385
description: scientific article; zbMATH DE number 2161826