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Backward stochastic differential equations with continuous coefficient

Author

Listed:
  • Lepeltier, J. P.
  • San Martin, J.

Abstract

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.

Suggested Citation

  • Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    • Handle: RePEc:eee:stapro:v:32:y:1997:i:4:p:425-430
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