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Jensen’s Inequality for Backward Stochastic Differential Equations*

✍ Scribed by Long Jiang


Publisher
Coastal and Estuarine Research Federation
Year
2006
Tongue
English
Weight
158 KB
Volume
27
Category
Article
ISSN
1860-6261

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📜 SIMILAR VOLUMES


Backward stochastic differential equatio
✍ J.P. Lepeltier; J. San Martin 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 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.