One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators

被引：9
|
作者：
Fan, ShengJun [1 ]
Jiang, Long [1 ]
机构：
[1] China Univ Min & Technol, Coll Sci, Xuzhou 221116, Jiangsu, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Backward stochastic differential equation; Existence; Linear-growth generator; Comparison theorem; Levi type theorem; STOCHASTIC DIFFERENTIAL-EQUATIONS;
D O I：
10.1016/j.spl.2012.06.004
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper deals with a one-dimensional backward stochastic differential equation (BSDE) whose generator g is of linear growth in (y, z), left-continuous and lower semi-continuous (maybe discontinuous) in y, and continuous in z. We establish, in this setting, the existence of the minimal solution to the BSDE. And we also prove a comparison theorem and a Levi type theorem for the minimal solutions. They generalize some known results. (C) 2012 Elsevier B.V. All rights reserved.
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页码：1792 / 1798
页数：7
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