Article ID Journal Published Year Pages File Type
10527260 Stochastic Processes and their Applications 2014 34 Pages PDF
Abstract
We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) Yt=ξ+∫tTf(s,Xs,Ys,Zs)ds−∫tTZsdWs in a finite-dimensional space, where f(t,x,y,z) is affine with respect to z, and satisfies a sublinear growth condition and a continuity condition. This solution takes the form of a triplet (Y,Z,L) of processes defined on an extended probability space and satisfying Yt=ξ+∫tTf(s,Xs,Ys,Zs)ds−∫tTZsdWs−(LT−Lt) where L is a martingale with possible jumps which is orthogonal to W. The solution is constructed on an extended probability space, using Young measures on the space of trajectories. One component of this space is the Skorokhod space D endowed with the topology S of Jakubowski.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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