Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155743 | Stochastic Processes and their Applications | 2011 | 14 Pages |
Abstract
This paper is devoted to solving one-dimensional backward stochastic differential equations (BSDEs), where the time horizon may be finite or infinite and the assumptions on the generator gg are not necessary to be uniform on tt. We first show the existence of the minimal solution for this kind of BSDEs with linear growth generators. Then, we establish a general comparison theorem for solutions of this kind of BSDEs with weakly monotonic and uniformly continuous generators. Finally, we give an existence and uniqueness result for solutions of this kind of BSDEs with uniformly continuous generators.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
ShengJun Fan, Long Jiang, DeJian Tian,