Uniqueness of Solutions for Certain Markovian Backward Stochastic Differential Equations
arXiv:1210.8230
Abstract
This paper considers the problem of uniqueness of the solutions to a class of Markovian backward stochastic differential equations (BSDEs) which are also connected to certain nonlinear partial differential equation (PDE) through a probabilistic representation. Assuming that there is a solution to the BSDE or to the corresponding PDE, we use the probabilistic interpretation to show the uniqueness of the solutions, and provide an example of a stochastic control application.
14 pages, including the bibliography