Backward stochastic differential equations with stochastic monotone coefficients

K. Bahlali, A. Elouaflin and M. N'zi

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-19

Abstract:

We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values. But in a Markovian framework, that is coupled with a forward SDE, our result provides a probabilistic interpretation of solutions to nonlinear PDEs.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:179716

DOI: 10.1155/S1048953304310038

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