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Linear forward-backward stochastic differential equations with random coefficients

✍ Scribed by Jiongmin Yong


Publisher
Springer
Year
2005
Tongue
English
Weight
270 KB
Volume
135
Category
Article
ISSN
1432-2064

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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.