Weak solutions of backward stochastic differential equations with continuous generator

Nadira Bouchemella (1) , Paul Raynaud de Fitte (1)

1 LMRS - Laboratoire de Mathématiques Raphaël Salem

We prove the existence of a weak solution to a backward stochastic differential equation (BSDE) $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s$$ in a finite-dimensional space, where $f(t,x,y,z)$ is affine with respect to $z$, and satisfies a sublinear growth condition and a continuity condition This solution takes the form of a triplet $(Y,Z,L)$ of processes defined on an extended probability space and satisfying $$ Y_t=\xi+\int_t^T f(s,X_s,Y_s,Z_s)\,ds-\int_t^T Z_s\,d\wien_s-(L_T-L_t)$$ where $L$ is a continuous martingale which is orthogonal to any $\wien$. The solution is constructed as a solution measure, with the help of Young measures theory.

Mots clés: Backward stochastic differential equation; weak solution; martingale solution; Young measure

Domaines: Probabilités [math.PR]

Nadira Bouchemella, Paul Raynaud de Fitte. Weak solutions of backward stochastic differential equations with continuous generator. 2011. ⟨hal-00583676v1⟩