Work

On the uniqueness result for the BSDE with continuous coefficient

Year: 2022

Type: preprint

Abstract: In this paper, we study one-dimensional backward stochastic differential equation (BSDE, for short), whose coefficient $f$ is Lipschitz in $y$ but only continuous in $z$. In addition, if the terminal condition $ξ$ has bounded Malliavin derivative, we prove some uniqueness results for the BSDE with quadratic and linear growth in $z$, respectively.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2208.03715

Authors: Shi, Yufeng, Yang, Zhi

Institution: Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Natural Science Foundation of China, China Scholarship Council, Natural Science Foundation of Shandong Province

Awards: G1007239392, G1770562916, G2384100955, G2485381104, G2510044756, G2849646491, G3150411841, G5292492323, G7456287531

OpenAlex ID: W4299521877

Cites:

Cited by:

Related to: 10