Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations

2012/10/31 by Coşkun Çetin, Cetin, Coskun
Computer Science · Economics, Econometrics and Finance · Mathematics · #49J20 #60H10 #Advanced Mathematical Modeling in Engineering #Analysis of PDEs (math.AP) #Differential Equations and Numerical Methods #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1210.8230

openalex publication_date 2012/10/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the corresponding PDE, we use the probabilistic interpretation to show the uniqueness of the solutions, and provide an example of a stochastic control application.

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