Cookies?
Library Header Image
LSE Research Online LSE Library Services

On backward stochastic differential equations and strict local martingales

Xing, Hao (2012) On backward stochastic differential equations and strict local martingales. Stochastic Processes and Their Applications, 122 (6). pp. 2265-2291. ISSN 0304-4149

Full text not available from this repository.
Identification Number: 10.1016/j.spa.2012.03.003

Abstract

We study a backward stochastic differential equation (BSDE) 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 Lp integrable for any 0<p<1. These two different BSDE solutions generate different viscosity solutions to the associated quasi-linear partial differential equation. On the contrary, when a Lyapunov function exists, the local martingale is a martingale and the quasi-linear equation admits a unique viscosity solution of at most linear growth.

Item Type: Article
Official URL: http://www.journals.elsevier.com/stochastic-proces...
Additional Information: © 2012 Elsevier
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 04 May 2012 09:40
Last Modified: 06 Jan 2024 02:24
URI: http://eprints.lse.ac.uk/id/eprint/43459

Actions (login required)

View Item View Item