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Reflected solutions of backward stochastic differential equations with continuous coefficient

โœ Scribed by Anis Matoussi


Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
265 KB
Volume
34
Category
Article
ISSN
0167-7152

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๐Ÿ“œ SIMILAR VOLUMES


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.

Comparison theorem for solutions of back
โœ Jicheng Liu; Jiagang Ren ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 106 KB

Comparison theorems for solutions of one-dimensional backward stochastic di erential equations were established by Peng and Cao-Yan, where the coe cients were, respectively, required to be Lipschitz and Dini continuous. In this work, we generalize the comparison theorem to the case where the coe cie

On solutions of backward stochastic diff
โœ Rong Situ ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 141 KB

Existence and uniqueness is established for solutions to backward stochastic di erential equations with jumps and non-Lipschitzian coe cients in Hilbert space. The results are used to solve some special types of optimal stochastic control problems with respect to certain BSDEs with jumps in Hilbert