Lp solutions to backward stochastic differential equations with discontinuous generators

In this paper, we deal with the Lp(p>1) solutions to one dimensional backward stochastic differential equations (BSDEs) with discontinuous generators. We obtain an existence theorem of Lp solutions for BSDEs whose generators satisfy a kind of discontinuous condition in y and are uniformly continuous in z.

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Year of publication:	2013
Authors:	Tian, Dejian ; Jiang, Long ; Shi, Xuejun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 503-510
Publisher:	Elsevier
Subject:	Backward stochastic differential equations \| Existence theorem \| Lp solution \| Uniformly continuous condition

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

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