One-dimensional backward stochastic differential equations whose coefficient is monotonic in y and non-Lipschitz in z
Résumé
In this paper we study one-dimensional BSDE's whose coefficient f is monotonic in y and non-Lipschitz in z. We obtain a general existence result when f has at most quadratic growth in z and is bounded. We study the special case f (t, y, z) = vertical bar z vertical bar(p) where p is an element of (1, 2]. Finally, we study the case f has a linear growth in z, general growth in y and is not necessarily bounded.