Prevalence of Backward Stochastic Differential Equations with Unique Solution
نویسنده
چکیده
Let (Wt)0≤t≤1 be an r-dimensional Wiener process defined on a probability space (Ω, , P) and let ( t)0≤t≤1 denote the natural filtration of (Wt) such that 0 contains all P-null sets of . Let ξ be an 1-measurable d-dimensional square-integrable random variable. Let f be an Rd-valued process defined on R+ ×Ω×Rd ×Rd×r with values in Rd such that for all (y,z) ∈ Rd ×Rd×r , the map (t,ω) → f (t,ω, y,z) is t-progressively measurable. We consider the following backward stochastic differential equation (BSDE): (E f ,ξ)
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