Journal
STOCHASTICS AND DYNAMICS
Volume 19, Issue 1, Pages -Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219493719500084
Keywords
BSDFs; unbounded generator; existence; uniqueness; comparison theorem
Categories
Ask authors/readers for more resources
In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are new. We also prove a comparison theorem. Second, under the linear growth and continuity assumptions on the possibly unbounded generator, we prove the existence of the solution pair. This class of equations is more general than the existing ones.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available