A class of BSDE with integrable parameters

In this paper, we establish an existence and uniqueness result for solutions to one-dimensional backward stochastic differential equations (BSDEs) with only integrable parameters, where the generator g is [alpha]-Hölder (0<[alpha]<1) continuous in z.

MoreLess

Year of publication:	2010
Authors:	Fan, ShengJun ; Liu, DeQun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 23-24, p. 2024-2031
Publisher:	Elsevier
Keywords:	Backward stochastic differential equation Existence and uniqueness Integrable parameters Holder continuous

More details

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

Persistent link: https://www.econbiz.de/10008868879