On backward stochastic differential equations and strict local martingales

2011/05/15 by Hao Xing, Xing, Hao
Economics, Econometrics and Finance · Mathematics · #Economic theories and models #FOS: Mathematics #Mathematical Biology Tumor Growth #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1105.2973

openalex publication_date 2011/05/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study a backward stochastic differential equation whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are \mathbbL^p integrable for any 0

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