Qin, Yan; Xia, Ning-Mao - In: Statistics & Probability Letters 83 (2013) 4, pp. 1271-1281
In this paper, we study the existence and uniqueness of the adapted solution of a backward stochastic differential equation with a general diffusion coefficient. By using the idea of Brownian bridge, and changing the control term from the diffusion coefficient to the drift coefficient, we prove...