On $L^1$ solutions of BSDE


We consider the existence and uniqueness of $L^1$ solutions of BSDEs and reflected BSDEs. It was shown that if the generator $f$ is of sublinear growth with respect to $z$, there exists a solution for $\xi\in L^1$. Here, we... [ view full abstract ]


  1. Junjian Yang (TU Wien)
  2. Zhenjie Ren (University of Paris-Dauphine)
  3. Nizar Touzi (Ecole Polytechnique-CMAP)

Topic Areas

Backward Stochastic Differential Equations , Stochastic Analysis


MO-A-SW » BSDE and PDE Methods (11:30 - Monday, 16th July, Swift)

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