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http://dx.doi.org/10.4134/BKMS.2013.50.4.1079

BSDES ON FINITE AND INFINITE TIME HORIZON WITH DISCONTINUOUS COEFFICIENTS  

Duan, Pengju (Laboratory of Intelligent Information Processing Suzhou University, School of Mathematics and Statistics Suzhou University)
Ren, Yong (Department of Mathematics Anhui Normal University)
Publication Information
Bulletin of the Korean Mathematical Society / v.50, no.4, 2013 , pp. 1079-1086 More about this Journal
Abstract
This paper is devoted to solving one dimensional backward stochastic differential equations (BSDEs). We prove the existence of the solutions to BSDEs if the generator satisfies the general growth and discontinuous conditions.
Keywords
backward stochastic differential equations; existence and uniqueness; comparison theorem; discontinuous conditions;
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