Backward stochastic differential equations with stochastic monotone coefficients

[摘要] We prove an existence and uniqueness result for backwardstochastic differential equations whose coefficients satisfy astochastic monotonicity condition. In this setting, we deal with bothconstant and random terminal times. In the random case, theterminal timeis allowed to take infinite values.But in a Markovian framework, that is coupled with a forwardSDE, our result provides a probabilistic interpretation ofsolutions to nonlinear PDEs.

[学科分类] 应用数学