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Backward stochastic differential equations with continuous coefficient

J. P. Lepeltier and J. San Martin

Statistics & Probability Letters, 1997, vol. 32, issue 4, 425-430

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.

Keywords: Backward; stochastic; differential; equations (search for similar items in EconPapers)
Date: 1997
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Handle: RePEc:eee:stapro:v:32:y:1997:i:4:p:425-430