Existence and Non-uniqueness of Solutions for BSDE
We study BSDE where the driver is pathwise quadratically bounded. The associated utility function is always a solution but even in the class of Markovian solutions uniqueness is not guaranteed. we relate the problem to problems for quasi-linear parabolic PDE.
KeywordsStochastic Differential Equation Predictable Process Exponential Moment Backward Stochastic Differential Equation Density Process
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