DOI QR코드

DOI QR Code

BSDES ON FINITE AND INFINITE TIME HORIZON WITH DISCONTINUOUS COEFFICIENTS

  • Duan, Pengju ;
  • Ren, Yong
  • Received : 2012.02.10
  • Published : 2013.07.31

Abstract

This paper is devoted to solving one dimensional backward stochastic differential equations (BSDEs). We prove the existence of the solutions to BSDEs if the generator satisfies the general growth and discontinuous conditions.

Keywords

backward stochastic differential equations;existence and uniqueness;comparison theorem;discontinuous conditions

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  1. Discontinuous backward doubly stochastic differential equations with Poisson jumps vol.28, pp.1-2, 2017, https://doi.org/10.1007/s13370-016-0434-z