Article ID Journal Published Year Pages File Type
1152278 Statistics & Probability Letters 2012 7 Pages PDF
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
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