On existence of solutions of BSDEs with continuous coefficient

Andrzej Rozkosz

Statistics & Probability Letters, 2004, vol. 67, issue 3, 249-256

Abstract: We consider one-dimensional backward stochastic differential equation driven by diffusion corresponding to a symmetric uniformly elliptic divergence form operator. We show that in the case where the coefficient of the equation is continuous and satisfies the linear growth condition there is a solution of the equation which has a representation in terms of a Sobolev solution of the corresponding semilinear partial differential equation.

Keywords: Backward; stochastic; differential; equation; Divergence; form; operator; Semilinear; parabolic; equation (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(04)00031-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:67:y:2004:i:3:p:249-256

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().