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Anticipative Stochastic Differential Equations with Non-smooth Diffusion Coefficient

✍ Scribed by Zong Xia Liang


Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2006
Tongue
English
Weight
185 KB
Volume
22
Category
Article
ISSN
1439-7617

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πŸ“œ SIMILAR VOLUMES


Backward stochastic differential equatio
✍ J.P. Lepeltier; J. San Martin πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 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.