کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152278 958277 2012 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
چکیده انگلیسی

This paper deals with a one-dimensional backward stochastic differential equation (BSDE) whose generator gg is of linear growth in (y,z)(y,z), left-continuous and lower semi-continuous (maybe discontinuous) in yy, and continuous in zz. We establish, in this setting, the existence of the minimal solution to the BSDE. And we also prove a comparison theorem and a Levi type theorem for the minimal solutions. They generalize some known results.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 82, Issue 10, October 2012, Pages 1792–1798
نویسندگان
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