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• W2090840897 abstract "We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) Yt=ξ+∫tTf(s,Xs,Ys,Zs)ds−∫tTZsdWs in a finite-dimensional space, where f(t,x,y,z) is affine with respect to z, and satisfies a sublinear growth condition and a continuity condition. This solution takes the form of a triplet (Y,Z,L) of processes defined on an extended probability space and satisfying Yt=ξ+∫tTf(s,Xs,Ys,Zs)ds−∫tTZsdWs−(LT−Lt) where L is a martingale with possible jumps which is orthogonal to W. The solution is constructed on an extended probability space, using Young measures on the space of trajectories. One component of this space is the Skorokhod space D endowed with the topology S of Jakubowski." @default.
• W2090840897 created "2016-06-24" @default.
• W2090840897 creator A5000471712 @default.
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• W2090840897 date "2014-01-01" @default.
• W2090840897 modified "2023-09-30" @default.
• W2090840897 title "Weak solutions of backward stochastic differential equations with continuous generator" @default.
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• W2090840897 doi "https://doi.org/10.1016/j.spa.2013.09.011" @default.
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