adv

A note on backward stochastic differential equation with generator $f(y)|z|^2$. (arXiv:1810.07086v1 [math.PR])

来源于:arXiv
In this note, we consider the backward stochastic differential equation (BSDE) with generator $f(y)|z|^2,$ where the function $f$ is defined on an open set and locally integral. The existence and uniqueness of solution of such BSDE is explored for bounded or unbounded terminal variables. A comparison theorem and a converse theorem theorem of such BSDEs are obtained. 查看全文>>