Nikolaos Halidias, Peter E. Kloeden
Abstract:
An existence result is proved for backwards stochastic
differential equations (BSDEs) with a generator
f(t,x,z) which is possibly discontinuous in the x variable.
For this comparison results are first established
for BSDEs with the generator satisfying a generalized Lipschitz
condition in its x variable.
Submitted May 25, 2010. Published August 26, 2011.
Math Subject Classifications: 60H10, 60H20.
Key Words: Backward stochastic differentail equation;
comparison theorem; discontinuous generator.
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Nikolaos Halidias Department of Statistics and Actuarial-Financial Mathematics University of the Aegean Karlovassi 83200 Samos, Greece email: nick@aegean.gr |
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Peter E. Kloeden Institut für Mathematik, Goethe-Universität D-60054 Frankfurt am Main, Germany email: kloeden@math.uni-frankfurt.de |
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