Backward stochastic differential equations with continuous coefficient. (English) Zbl 0904.60042

Lepeltier, J. P.; San Martin, J.

Stat. Probab. Lett. 32, No. 4, 425-430 (1997).

Summary: We prove the existence of a solution for “one-dimensional” backward stochastic differential equations where the coefficient is continuous, it has a linear growth, and the terminal condition is squared integrable. We also obtain the existence of a minimal solution.

MSC:

60H10

Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

backward stochastic differential equations

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