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- W2045577524 abstract "In this paper, we are interested in solving backward stochastic differential equations (BSDEs for short) under weak assumptions on the data. The first part of the paper is devoted to the development of some new technical aspects of stochastic calculus related to BSDEs. Then we derive a priori estimates and prove existence and uniqueness of solutions in Lp p>1, extending the results of El Karoui et al. (Math. Finance 7(1) (1997) 1) to the case where the monotonicity conditions of Pardoux (Nonlinear Analysis; Differential Equations and Control (Montreal, QC, 1998), Kluwer Academic Publishers, Dordrecht, pp. 503–549) are satisfied. We consider both a fixed and a random time interval. In the last section, we obtain, under an additional assumption, an existence and uniqueness result for BSDEs on a fixed time interval, when the data are only in L1." @default.
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- W2045577524 date "2003-11-01" @default.
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- W2045577524 title "Lp solutions of backward stochastic differential equations" @default.
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- W2045577524 doi "https://doi.org/10.1016/s0304-4149(03)00089-9" @default.
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