On backward stochastic differential equations and strict local martingales

Details On backward stochastic differential equations and strict local martingales On backward stochastic differential equations and strict local martingales

2011-05-15

arxiv.org/abs/1105.2973v4

Mathematics

Probability

Keywords: Backward stochastic differential equation, strict local martingale, viscosity solution, comparison theorem

Scientific paper

We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in $z$. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are $\mathbb{L}^p$ integrable for any $0

Affiliated with

Also associated with

No associations

Rating

On backward stochastic differential equations and strict local martingales does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On backward stochastic differential equations and strict local martingales, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On backward stochastic differential equations and strict local martingales will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-76635