Uniqueness result for the BSDE whose generator is monotonic in y and uniformly continuous in z - 21/01/10
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Abstract |
In this Note, we prove that if g is continuous, monotonic and has a general growth in y, g is uniformly continuous in z, and 
is square integrable, then for each square integrable terminal condition ξ, the one-dimensional backward stochastic differential equation (BSDE) with the generator g has a unique solution. This generalizes some corresponding (one-dimensional) results.
Résumé |
Dans cette Note on démontre que si g est continue, monotone, de croissance quelconque en y, g uniformément continue en z et 
est de carré intégrable, alors pour toute condition finale ξ de carré intégrable, en dimension un, l’équation différentielle stochastique rétrograde (BSDE) de générateur g, a une solution unique. Ce résultat généralise des résultats connus dans le cas de la dimension un.
Mappa
 | Supported by the National Natural Science Foundation of China (No. 10671205), National Basic Research Program of China (No. 2007CB814901), Youth Foundation of China University of Mining & Technology (Nos. 2006A041 and 2007A029) and Qing Lan Project. |
Vol 348 - N° 1-2
P. 89-92 - gennaio 2010 Ritorno al numero
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