Article ID Journal Published Year Pages File Type
1151310 Statistics & Probability Letters 2016 9 Pages PDF
Abstract

This paper is devoted to solving a one-dimensional backward stochastic differential equation (BSDE in short) when the generator gg has a semi-linear growth and a general growth in (y,z)(y,z). This condition is not only strictly weaker than the linear growth condition of gg in (y,z)(y,z), but also the (weak) monotonicity and general growth condition of gg in yy together with the linear growth condition of gg in zz. We establish, in this setting, three existence results on a solution and the minimal (maximal) solution to the BSDE, where the generator gg may be discontinuous in yy. These results virtually unify and improve some existing results.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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