Abstract
This paper establishes a local limit theorem for solutions of backward stochastic differential equations with Mao’s non-Lipschitz generator, which is similar to the limit theorem obtained by [3] under the Lipschitz assumption.
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Supported by the National Natural Science Foundation of China (No. 10671205), China Postdoctoral Science Foundation (No. 20060400158) and 973 Program of China (No. 2007CB814901)
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Liu, Yc., Jiang, L. & Xu, Yy. A local limit theorem for solutions of BSDEs with Mao’s non-Lipschitz generator. Acta Math. Appl. Sin. Engl. Ser. 24, 329–336 (2008). https://doi.org/10.1007/s10255-006-6157-4
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DOI: https://doi.org/10.1007/s10255-006-6157-4