Some generic properties in backward stochastic differential equations with continuous coefficient

Monte Carlo Methods and Applications

Volumn 7, Issue 1-2, 2001, Pages 15-19

  Bahlali, Khaled ^a,b   Mezerdi, Brahim ^c  

^a UTV   (France)

^b CENTRE DE PHYSIQUE THÉORIQUE   (France)

^c UNIVERSITY OF BISKRA   (Algeria)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038511978     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.2001.7.1-2.15     Document Type: Article

References (13)

1. W. Orlicz, (1932), Zur theorie der differentialgleichung y' =/(x, t/), Bull. Acad. Polon. Sei. ser. A, pp. 221-228.
2. J. Oxtoby (1971), Measure and Category, Springer, New-York.
3. A. Lasota, J.A. Yorke, (1973), The generic property of existence of solutions of differential equations in Banach space, J. DifT. Eq., 13, pp.1-12.
4. A.V. Skorohod, (1980), Stochastic differential equations: Dependence on a parameter, Theo. Probab. Appl., Vol. 25, N* 4.
5. A.J. Heunis, (1986), On the prevalence of stochastic differential equations with unique strong solutions. Ann. Probab, 14, pp. 653-662.
6. E. Pardoux, S. Peng, (1990), Adapted solution of a backward stochastic differential equation. Syst. Cont. Letters. 14, 55-61. (Pubitemid 20649275)
7. K. Bahlali, B. Mezerdi, Y. Ouknine, (1996), Some generic properties of stochastic differential equations, Stoch. Stoch. Reports. Vol.57, pp.235-245
8. E. Pardoux, S. Peng, (1996), Some backward stochastic differential equations with non-Lipschitz coefficients. Proc. con}. Metz.
9. S. Hamadene, (1996), Equations différentielles stochastiques rétrogrades: Le cas localement lipschitzien. Ann. Inst. Henri Poincaré. 32, 645-660.
10. N. El Karoui, S. Peng, M.C. Quenez, (1997), Backward stochastic differential equations in finance. Mathematical Finance. 7, 1-71. (Pubitemid 127342795)
11. J.P. Lepeltier, J. San Martin, (1998), Existence for BSDE with Superlinear-Quadratic coefficients. Stoc. Stoc. Reports 63, 227-240.
12. A. Dermoune, S. Hamadene, Y. Ouknine, (1999), Backward stochastic differential equation with local time. Stoc. Stoc. Reports. 66, 103-119.
13. J.J. Alibert, K. Bahlali, (1999) Genericity in deterministic and stochastic differential equations. Preprint. To appear in Seminaire de Probabilités, Vol. XXXV. Springer.