A uniqueness theorem for solution of BSDEs

Details A uniqueness theorem for solution of BSDEs A uniqueness theorem for solution of BSDEs

2008-02-05

arxiv.org/abs/0802.0616v1

Mathematics

Probability

Scientific paper

In this note, we prove that if $g$ is uniformly continuous in $z$, uniformly
with respect to $(\oo,t)$ and independent of $y$, the solution to the backward
stochastic differential equation (BSDE) with generator $g$ is unique.

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