Uniqueness of solution to scalar BSDEs with Lexp{left(μ sqrt{2log{(1+L)}}\,right)}-integrable terminal values
classification
🧮 math.PR
keywords
bsdeintegrableleftrightscalarsolutionsqrtterminal
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In [4], the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) if the terminal value is $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-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.
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