One-dimensional BSDEs with finite and infinite time horizons

ShengJun Fan, Long Jiang and Dejian Tian

Stochastic Processes and their Applications, 2011, vol. 121, issue 3, 427-440

Abstract: This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs), where the time horizon may be finite or infinite and the assumptions on the generator g are not necessary to be uniform on t. We first show the existence of the minimal solution for this kind of BSDEs with linear growth generators. Then, we establish a general comparison theorem for solutions of this kind of BSDEs with weakly monotonic and uniformly continuous generators. Finally, we give an existence and uniqueness result for solutions of this kind of BSDEs with uniformly continuous generators.

Keywords: Backward; stochastic; differential; equation; Comparison; theorem; Existence; and; uniqueness; Uniformly; continuous; generator; Monotonic; generator (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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