BSDEs driven by normal martingale. Issue 4 (4th March 2022)

• Record Type: Journal Article
• Authors: El Otmani, M.; Marzougue, M.
• Is Part Of: Applicable analysis. Volume 101:Issue 4(2022)
• Page Start: 1517
• Page End: 1531
• Publication Date: 2022-03-04
• Subjects: Backward stochastic differential equation -- normal martingale -- stochastic Lipschitz coefficient -- viscosity solution; 60H20 -- 60H30 -- 65C30; Mathematical analysis -- Periodicals; 515
• DOI: 10.1080/00036811.2020.1783535
• Languages: English
• ISSNs: 0003-6811

Abstract

Abstract : The aim of this paper is to study backward stochastic differential equation driven by a class of normal martingale. We prove the existence and uniqueness results of the solution under the stochastic Lipschitz condition by mean the martingale representation theorem. In addition, we show that the solution of these equations provides a viscosity solution of the associated system with partial differential equations.