Resource title

On backward stochastic differential equations and strict local martingales

Resource image

image for OpenScout resource :: On backward stochastic differential equations and strict local martingales

Resource description

We study a backward stochastic differential equation (BSDE) whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a solution whose first component is of class D, there exists another solution whose first component is not of class D and strictly dominates the class D solution. Both solutions are Lp integrable for any 0

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

Resource resource URL

http://eprints.lse.ac.uk/43459/

Resource license