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- W1978583950 abstract "We deal with a one dimensional multivalued backward stochastic differential equation associated to the subdifferential ∂hof a lower semi-continuous convex function h, with a local lipschitz coefficient (drift). When the terminal value is bounded, we prove the existence of a solution by using a suitable approximation of the drift by a double sequence of lipschitz functions. The uniqueness is obtained under the condition that the drift is local Lipschitz in y and globally Lipschitz in z. The existence result is an extension to the multivalued setting of the work of Hamadene" @default.
- W1978583950 created "2016-06-24" @default.
- W1978583950 creator A5005719891 @default.
- W1978583950 date "1997-01-01" @default.
- W1978583950 modified "2023-10-17" @default.
- W1978583950 title "Multivalued backward stochastic differential equations with local Lipschitz drift" @default.
- W1978583950 doi "https://doi.org/10.1515/rose.1997.5.2.163" @default.
- W1978583950 hasPublicationYear "1997" @default.
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