Multidimensional Backward Stochastic Differential Equations with Left-Lipschitz Coefficients

被引：0

作者：

Xu, Yuhong ^{[1
,2
]}

机构：

[1] Soochow Univ, Dept Math, Suzhou 215006, Peoples R China

[2] Univ Brest, Lab Math Bretagne Atlantique, F-29200 Brest, France

来源：

JOURNAL OF MATHEMATICAL SCIENCES-THE UNIVERSITY OF TOKYO | 2013年 / 20卷 / 01期

关键词：

Backward stochastic differential equation; discontinuous coefficient; minimal solution; maximal solution; THEOREM; BSDES;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this note, we consider multidimensional backward stochastic differential equations with coefficients which are left-Lipschitz w.r.t. y and Lipschitz w.r.t. z and without explicit constraints on the growth. An existence theorem of minimal solution is established in this framework. We also relate it to the hedging problem for interacting economic agents.

引用

页码：115 / 126

页数：12

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