Xing, Hao - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2265-2291
We study a backward stochastic differential equation (BSDE) whose terminal condition is an integrable function of a local martingale and generator has bounded growth in z. When the local martingale is a strict local martingale, the BSDE admits at least two different solutions. Other than a...