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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 83 (2013)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: 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.
- Jia, Guangyan, 2008. "A class of backward stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 231-237, February.
- Fan, ShengJun & Jiang, Long & Tian, DeJian, 2011. "One-dimensional BSDEs with finite and infinite time horizons," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 427-440, March.
- Zheng, Shiqiu & Zhou, Shengwu, 2008. "A generalized existence theorem of reflected BSDEs with double obstacles," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 528-536, April.
- Mao, Xuerong, 1995. "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 281-292, August.
- 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:stapro:v:83:y:2013:i:2:p:503-510. 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.