We are concerned with backward stochastic differential equations (BSDE) and with their applications to finance. These equations were introduced by Bismut (1973) for the linear case and by Pardoux and Peng (1990) in the general case. According to these authors, the solution of a BSDE consists of a pair of adapted processes satisfying
where is the generator and is the terminal condition. Actually, this type of equation appears in numerous problems in finance (as pointed out in Quenez’s doctorate 1993).