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2018 Uniqueness of solution to scalar BSDEs with $L\exp{\left (\mu \sqrt {2\log {(1+L)}}\,\right )} $-integrable terminal values
Rainer Buckdahn, Ying Hu, Shanjian Tang
Electron. Commun. Probab. 23: 1-8 (2018). DOI: 10.1214/18-ECP166

Abstract

In [5], the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) if the terminal value is $L\exp \hskip -0.5pt{\left (\mu \sqrt{2\log {(1+L)}} \right )}\hskip -0.5pt$-integrable with the positive parameter $\mu $ being bigger than a critical value $\mu _0$. In this note, we give the uniqueness result for the preceding BSDE.

Citation

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Rainer Buckdahn. Ying Hu. Shanjian Tang. "Uniqueness of solution to scalar BSDEs with $L\exp{\left (\mu \sqrt {2\log {(1+L)}}\,\right )} $-integrable terminal values." Electron. Commun. Probab. 23 1 - 8, 2018. https://doi.org/10.1214/18-ECP166

Information

Received: 16 May 2018; Accepted: 24 August 2018; Published: 2018
First available in Project Euclid: 12 September 2018

zbMATH: 06964402
MathSciNet: MR3863915
Digital Object Identifier: 10.1214/18-ECP166

Subjects:
Primary: 60H10

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