On the existence or non-existence of solutions for certain backward stochastic differential equations
Lepeltier, Jean-Pierre ; San Martín, Jaime
Bernoulli, Tome 8 (2002) no. 2, p. 123-137 / Harvested from Project Euclid
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We investigate the existence of (local) solutions and explosions for backward stochastic differential equationswith generator | f(t,ω ,y,z)| ≤ G(y)+F(y)R(z), where G,F,R are continuous, G is increasing in {\mathbb R}+ (decreasing in {\mathbb R}-) and R is subquadratic. We study in detail the case f(t,ω ,y,z)=G(y)+A| z| 2.
Publié le : 2002-02-15
Classification:  backward stochastic differential equations,  explosion time,  ordinary differential equations 
@article{1078951093,
     author = {Lepeltier, Jean-Pierre and San Mart\'\i n, Jaime},
     title = {On the existence or non-existence of solutions for certain backward stochastic differential equations},
     journal = {Bernoulli},
     volume = {8},
     number = {2},
     year = {2002},
     pages = { 123-137},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1078951093}
}

Lepeltier, Jean-Pierre; San Martín, Jaime. On the existence or non-existence of solutions for certain backward stochastic differential equations. Bernoulli, Tome 8 (2002) no. 2, pp.  123-137. http://gdmltest.u-ga.fr/item/1078951093/