Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations

Coskun Cetin

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arXiv · 1210.8230

Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations

Coskun Cetin

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Abstract

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the corresponding PDE, we use the probabilistic interpretation to show the uniqueness of the solutions, and provide an example of a stochastic control application.

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BibTeX RIS

Coskun Cetin. 2012-11-02. Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations. https://arxiv.org/abs/1210.8230

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