On the uniqueness result for the BSDE with continuous coefficient

2022/08/07 by Shi, Yufeng, Yang, Zhi
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2208.03715

Abstract

In this paper, we study one-dimensional backward stochastic differential equation (BSDE, for short), whose coefficient f is Lipschitz in y but only continuous in z. In addition, if the terminal condition ξ has bounded Malliavin derivative, we prove some uniqueness results for the BSDE with quadratic and linear growth in z, respectively.

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