Comptes Rendus
no. 7-8
Probability Theory
A uniqueness theorem for the solution of Backward Stochastic Differential Equations
[Un théorême d'unicité de la solution d'une équation différentielle stochastique rétrograde]

Présenté par : Marc Yor

Guangyan Jia1
1 School of Mathematics and System Sciences, Shandong University, Jinan, Shandong 250100, PR China
Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 439-444.

Dans cette Note, nous démontrons que pour une fonction g donnée, uniformément continue en z, uniformément en (ω,t) et indépendante de y l'équation différentielle stochastique, rétrograde de générateur g, admet une solution unique.

In this Note, we prove that if g is uniformly continuous in z, uniformly with respect to (ω,t) and independent of y, the solution to the backward stochastic differential equation (BSDE) with generator g, is unique.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2008.02.012
Guangyan Jia 1

1 School of Mathematics and System Sciences, Shandong University, Jinan, Shandong 250100, PR China 
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Guangyan Jia. A uniqueness theorem for the solution of Backward Stochastic Differential Equations. Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 439-444. doi : 10.1016/j.crma.2008.02.012. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2008.02.012/

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