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arXiv:1210.8230 [math.PR]AbstractReferencesReviewsResources

Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations

Coskun Cetin

Published 2012-10-31, updated 2012-11-02Version 2

This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the corresponding PDE, we use the probabilistic interpretation to show the uniqueness of the solutions, and provide an example of a stochastic control application.

Comments: 14 pages, including the bibliography
Categories: math.PR, math.AP, math.OC
Subjects: 60H10, 49J20
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