arXiv:1308.6379 Abstract | arXiv Analytics

arXiv:1308.6379 [math.PR]Abstract References Reviews Resources

Backward stochastic differential equations with stopping time as time horizon

Published 2013-08-29Version 1

In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on backward stochastic differential equations with constant time horizon are generalized to the case of random time horizon.

Comments: 9 pages

Categories: math.PR, math.ST, stat.TH

Subjects: 60H10, 60H20, 60G40, 62L15

Keywords: backward stochastic differential equations, stopping time, random time horizon, constant time horizon

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