Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152278 | Statistics & Probability Letters | 2012 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
ShengJun Fan, Long Jiang,