Backward stochastic differential equations on manifolds II

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Abstract

In [1], we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and existence theorems in a general framework (in particular if positive curvatures are allowed), still using differential geometry tools.

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Blache, F. (2006). Backward stochastic differential equations on manifolds II. Probability Theory and Related Fields, 136(2), 234–262. https://doi.org/10.1007/s00440-005-0482-z

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