Weak solutions of backward stochastic differential equations with continuous generator

作者：Bouchemella Nadira; de Fitte Paul Raynaud^*

来源：Stochastic Processes and Their Applications, 2014, 124(1): 927-960.

DOI：10.1016/j.spa.2013.09.011

• Weak solution
• Joint solution measure
• Young measure
• Jakubowski%26apos
• s topology S
• Condition UT
• Meyer-Zheng
• Yamada-Watanabe-Engelbert

We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) %26lt;br%26gt;Y-t = xi + integral(T)(t) f(s, X-s, Y-s, Z(s)) ds -integral(T)(t) Z(s)dW(s) %26lt;br%26gt;in a finite-dimensional space, where f (t, x, y, z) is affine with respect to z, and satisfies a sublinear growth condition and a continuity condition. This solution takes the form of a triplet (Y, Z, L) of processes defined on an extended probability space and satisfying %26lt;br%26gt;Y-t = xi + integral(T)(t) f(s, X-s, Y-s, Z(s)) ds -integral(T)(t) Z(s)dW(s) - (L-T - L-t) %26lt;br%26gt;where L is a martingale with possible jumps which is orthogonal to W. The solution is constructed on an extended probability space, using Young measures on the space of trajectories. One component of this space is the Skorokhod space D endowed with the topology S of Jakubowski.

• 出版日期2014-1