One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators

This paper deals with a one-dimensional backward stochastic differential equation (BSDE) whose generator g is of linear growth in (y,z), left-continuous and lower semi-continuous (maybe discontinuous) in y, and continuous in z. We establish, in this setting, the existence of the minimal solution to the BSDE. And we also prove a comparison theorem and a Levi type theorem for the minimal solutions. They generalize some known results.

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Year of publication:	2012
Authors:	Fan, ShengJun ; Jiang, Long
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 10, p. 1792-1798
Publisher:	Elsevier
Subject:	Backward stochastic differential equation \| Existence \| Linear-growth generator \| Comparison theorem \| Levi type theorem

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

Persistent link: https://www.econbiz.de/10010597154