On backward stochastic differential equations and strict local martingales

Hao Xing

Stochastic Processes and their Applications, 2012, vol. 122, issue 6, 2265-2291

Abstract: We study a backward stochastic differential equation (BSDE) whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are Lp integrable for any 0Keywords: Backward stochastic differential equation; Strict local martingale; Viscosity solution; Comparison theorem (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spa.2012.03.003

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