A class of backward stochastic differential equations with discontinuous coefficients

Guangyan Jia

Statistics & Probability Letters, 2008, vol. 78, issue 3, 231-237

Abstract: In this paper, we deal with one-dimensional backward stochastic differential equations (BSDEs) whose coefficient may be discontinuous in y and continuous in z. We prove, in this setting, the existence of the solution to BSDEs.

Keywords: Backward; stochastic; differential; equation; Adapted; solution; Comparison; theorem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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