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arXiv · 2208.03715

On the uniqueness result for the BSDE with continuous coefficient

Yufeng Shi·Zhi Yang
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Abstract

In this paper, we study one-dimensional backward stochastic differential equation (BSDE, for short), whose coefficient $f$ is Lipschitz in $y$ but only continuous in $z$. In addition, if the terminal condition $\xi$ has bounded Malliavin derivative, we prove some uniqueness results for the BSDE with quadratic and linear growth in $z$, respectively.

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Yufeng Shi, Zhi Yang. 2022-08-07. On the uniqueness result for the BSDE with continuous coefficient. https://arxiv.org/abs/2208.03715

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