Backward stochastic differential equations with continuous coefficient

We prove the existence of a solution for "one dimensional" backward stochastic differential equations where the coefficient is continuous, it has a linear growth, and the terminal condition is squared integrable. We also obtain the existence of a minimal solution.

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Year of publication:	1997
Authors:	Lepeltier, J. P. ; San Martin, J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 32.1997, 4, p. 425-430
Publisher:	Elsevier
Subject:	Backward stochastic differential equations

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

Persistent link: https://www.econbiz.de/10005224167