A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators

HengMin Zhang and ShengJun Fan

Statistics & Probability Letters, 2013, vol. 83, issue 3, 724-734

Abstract: Under the most elementary conditions on stochastic differential equations and some milder conditions on backward stochastic differential equations with finite or infinite time intervals and linear-growth generators, a representation theorem of generators and a converse comparison theorem of solutions are established in this paper.

Keywords: Backward stochastic differential equation; Finite or infinite time intervals; Representation theorem; Converse comparison theorem (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.11.020

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