One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
This paper deals with a one-dimensional backward stochastic differential equation (BSDE) whose generator g is of linear growth in (y,z), left-continuous and lower semi-continuous (maybe discontinuous) in y, and continuous in z. We establish, in this setting, the existence of the minimal solution to the BSDE. And we also prove a comparison theorem and a Levi type theorem for the minimal solutions. They generalize some known results.
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Volume (Year): 82 (2012)
Issue (Month): 10 ()
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- 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.
- Liu, Jicheng & Ren, Jiagang, 2002. "Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 93-100, January.
- Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
- Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
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