A new type of stochastic differential equation, called the backward stochastic differentil equation (BSDE), where the value of the solution is prescribed at the final (rather than the initial) point of the time interval, but the solution is nevertheless required to be at each time a function of the past of the underlying Brownian motion, has been introduced recently, independently by Peng and the author in [16], and by Dufne and Epstein in [7]. This class of equations is a natural nonlinearâ€¦Â CONTINUE READING