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A class of backward stochastic differential equations with discontinuous coefficients

โœ Scribed by Guangyan Jia


Book ID
108267442
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
165 KB
Volume
78
Category
Article
ISSN
0167-7152

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Backward stochastic differential equatio
โœ J.P. Lepeltier; J. San Martin ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 214 KB

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.