A class of backward stochastic differential equations with discontinuous coefficients

In this paper, we deal with one-dimensional backward stochastic differential equations (BSDEs) whose coefficient may be discontinuous in y and continuous in z. We prove, in this setting, the existence of the solution to BSDEs.

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Year of publication:	2008
Authors:	Jia, Guangyan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 3, p. 231-237
Publisher:	Elsevier
Keywords:	Backward stochastic differential equation Adapted solution Comparison theorem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005074675