Lp solutions to backward stochastic differential equations with discontinuous generators
In this paper, we deal with the Lp(p>1) solutions to one dimensional backward stochastic differential equations (BSDEs) with discontinuous generators. We obtain an existence theorem of Lp solutions for BSDEs whose generators satisfy a kind of discontinuous condition in y and are uniformly continuous in z.
Volume (Year): 83 (2013)
Issue (Month): 2 ()
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- Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
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