One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z

Bernoulli

Volumn 13, Issue 1, 2007, Pages 80-91

  Briand, Philippe ^a   Lepeltier, Jean Pierre ^b   San Martín, Jaime ^c  

^a UNIVERSITÉ DE RENNES 1   (France)

^b UNIVERSITÉ DU MAINE   (France)

^c DEPARTAMENTO DE FÍSICA   (Chile)

Author keywords

Backward stochatic differential equations; Monotonic non Lipschitz coefficient

Indexed keywords

EID: 42149099790     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/07-BEJ5004     Document Type: Article

References (8)

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7. Pardoux, E. (1999) BSDE's, weak convergence and homogenization of semilinear PDE's in nonlinear analysis. In F.M. Clarke and J. Stern (eds), Nonlinear Analysis, Differential Equations and Control, pp. 503-549. Dordrecht: Kluwer Academic.
8. Pardoux, E. and Peng S. (1990) Adapted solutions of a backward stochastic differential equation. Systems Control Lett., 14, 55-61.