Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 85407, 25 pages
doi:10.1155/JAMSA/2006/85407
Abstract
We study the solution of one-dimensional generalized backward stochastic differential
equation driven by Teugels martingales and an independent Brownian motion. We prove existence and uniqueness of the solution when the coefficient verifies some conditions of Lipschitz. If the coefficient is left continuous, increasing,
and bounded, we prove the existence of a solution.