Existence and Uniqueness for Backward Stochastic Differential Equation to Stopping Time

• 作者: Chol Gyu Pak Haiyue Jin Junjie Bai Mun Chol Kim Yicheng Hong
• 来源期刊: 数学计算：中英文版
• 学科: 数学
• 关键词: BSDE(Backward Stochastic Differential Equation) Random TIME HORIZON STOPPING TIME
• 年，卷（期）: 2017,（1）
• 页码范围: 5-13
• 页数: 9页
• 分类号: O1

摘要

In this paper,we prove the existence and uniqueness for Backward Stochastic Differential Equations with stopping time as time horizon under the hypothesis that the generator is bounded.We first prove for the stopping time with finite values and for the general stopping time we prove the result taking limit.We suggest a new approach to generalize the results for the case of constant time horizon to the case of stopping time horizon.