Backward stochastic differential equations with continuous coefficient

Statistics and Probability Letters

Volumn 32, Issue 4, 1997, Pages 425-430

  Lepeltier, J P ^a   San Martin, J ^b  

^a UNIVERSITÉ DU MAINE   (France)

^b UNIVERSITY OF CHILE   (Chile)

Author keywords

Backward stochastic differential equations

Indexed keywords

EID: 0031116187     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(96)00103-4     Document Type: Article

References (8)

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2. Darling, R. and E. Pardoux (1995), Backward SDE with random terminal time and applications to semilinear elliptic PDE, Prépublication 96-02 du CMI, Université de Provence.
3. El Karoui, N., S. Peng and M.C. Quenez (1994), Backward stochastic differential equations in Finance, Preprint Lab. de Probabilités de Paris VI.
4. Hamadene, S. (1994), Equations différentielles stochastiques rétrogrades: le cas localement lipschitzien, to appear in: Ann. IHP.
5. Pardoux, E. and S. Peng (1990), Adapted solution of a backward stochastic differential equation, Systems Control Lett. 14, 55-61.
6. Pardoux, E. and S. Peng (1994), Some backward stochastic differential equations with non-lipschitz coefficients, preprint.
7. Peng, S. (1992), A generalized dynamic programming principle and Hamilton-Jacobi-Bellman equations, Stochastic 38, 119-134.
8. 2 weak-convergence method and applications, preprint.