A generalized existence theorem of BSDEs

Guangyan Jia

doi:10.1016/j.crma.2006.02.020

Probability Theory

A generalized existence theorem of BSDEs
[Un théorème d'existence généralisé des EDSRs]

Présenté par : Paul Malliavin

Guangyan Jia ¹

¹ School of Mathematics and System Sciences, Shandong University, Jinan, Shandong, 250100, P.R. China

Comptes Rendus. Mathématique, Volume 342 (2006) no. 9, pp. 685-688.

Résumé
Abstract

Dans cette Note, nous traitons l'équation différentielle stochastique rétrograde en une dimension, où le coéfficient est Lipschitzien à gauche en y (peut-être discontinu) et Lipschitzien en z, sans croissance contrainte explicite. Nous montrons, dans ce cas, un théorème d'existence de la solution pour équation différentielle stochastique rétrograde.

In this Note, we deal with one-dimensional backward stochastic differential equations (BSDEs) where the coefficient is left-Lipschitz in y (may be discontinuous) and Lipschitz in z, but without explicit growth constraint. We prove, in this setting, an existence theorem for backward stochastic differential equations.

Reçu le : 2005-03-29
Accepté le : 2006-02-21
Publié le : 2006-03-22

DOI : 10.1016/j.crma.2006.02.020

Affiliations des auteurs :

Guangyan Jia ¹

¹ School of Mathematics and System Sciences, Shandong University, Jinan, Shandong, 250100, P.R. China

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     title = {A generalized existence theorem of {BSDEs}},
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Guangyan Jia. A generalized existence theorem of BSDEs. Comptes Rendus. Mathématique, Volume 342 (2006) no. 9, pp. 685-688. doi : 10.1016/j.crma.2006.02.020. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2006.02.020/

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