Second Order Backward Stochastic Differential Equations with Continuous Coefficient

Details Second Order Backward Stochastic Differential Equations with Continuous Coefficient Second Order Backward Stochastic Differential Equations with Continuous Coefficient

2012-01-03

arxiv.org/abs/1201.1049v2

Mathematics

Probability

28 pages

Scientific paper

We prove the existence and uniqueness of a solution for one-dimensionnal
second order backward stochastic differential equations introduced by Soner,
Touzi and Zhang (2010) with a generator which is Lipschitz in z and uniformly
continuous with linear growth with a monotonicity condition in y.

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