Lp solutions to backward stochastic differential equations with discontinuous generators

Dejian Tian, Long Jiang and Xuejun Shi

Statistics & Probability Letters, 2013, vol. 83, issue 2, 503-510

Abstract: In this paper, we deal with the Lp(p>1) solutions to one dimensional backward stochastic differential equations (BSDEs) with discontinuous generators. We obtain an existence theorem of Lp solutions for BSDEs whose generators satisfy a kind of discontinuous condition in y and are uniformly continuous in z.

Keywords: Backward stochastic differential equations; Existence theorem; Lp solution; Uniformly continuous condition (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.10.026

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