On backward stochastic differential equations and strict local martingales
We study a backward stochastic differential equation (BSDE) whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are Lp integrable for any 0
Volume (Year): 122 (2012)
Issue (Month): 6 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Briand, Ph. & Delyon, B. & Hu, Y. & Pardoux, E. & Stoica, L., 2003. "Lp solutions of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 109-129, November.
- Erhan Bayraktar & Hao Xing, 2009. "On the uniqueness of classical solutions of Cauchy problems," Papers 0908.1086, arXiv.org, revised Sep 2009.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:6:p:2265-2291. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.