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Applicable Analysis
An International Journal
Volume 101, 2022 - Issue 4
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Articles

BSDEs driven by normal martingale

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Pages 1517-1531 | Received 14 Mar 2019, Accepted 06 Jun 2020, Published online: 22 Jun 2020
 

Abstract

The aim of this paper is to study backward stochastic differential equation driven by a class of normal martingale. We prove the existence and uniqueness results of the solution under the stochastic Lipschitz condition by mean the martingale representation theorem. In addition, we show that the solution of these equations provides a viscosity solution of the associated system with partial differential equations.

2010 Mathematics Subject Classifications:

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This work was supported by National Center for Scientific and Technical Research (CNRST), Morocco.

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