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Backward Stochastic Differential Equations in the Plane

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Abstract

This paper is devoted to study backward stochastic differential equations in the plane driven by a Brownian sheet, where the value of the solution at the corner (s 0,t 0) is fixed. The existence and uniqueness of a solution is obtained by means of Picard's approximation scheme and a suitable two-parameter Gronwall's type lemma.

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Authors and Affiliations

  1. Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007, Barcelona, Spain

    N. Lanjri Zaïdi & D. Nualart

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  1. N. Lanjri Zaïdi
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  2. D. Nualart
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Lanjri Zaïdi, N., Nualart, D. Backward Stochastic Differential Equations in the Plane. Potential Analysis 16, 373–386 (2002). https://doi.org/10.1023/A:1014878129265

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  • DOI: https://doi.org/10.1023/A:1014878129265

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