Finite and infinite time interval BSDEs with non-Lipschitz coefficients

被引：14
|
作者：
Fan, ShengJun [1 ]
Jiang, Long [1 ]
机构：
[1] China Univ Min & Technol, Coll Sci, Xuzhou 221116, Jiangsu, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 11-12期
基金：
中国国家自然科学基金;
关键词：
Backward stochastic differential equation; Infinite time interval; Non-Lipschitz coefficients; Mao's condition; Existence and uniqueness; STOCHASTIC DIFFERENTIAL-EQUATIONS;
D O I：
10.1016/j.spl.2010.02.009
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper aims at solving multidimensional backward stochastic differential equations (BSDEs) under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of the solutions to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which generalizes the corresponding results in Mao (1995), Wang and Wang (2003), Wang and Huang (2009), Chen (1997) and Chen and Wang (2000). (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：962 / 968
页数：7
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