Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

Xuerong Mao

doi:10.1016/0304-4149(95)00024-2

Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

Xuerong Mao

Mathematics And Statistics

Research output: Contribution to journal › Article › peer-review

160 Citations (Scopus)

Abstract

In this paper we shall establish a new theorem on the existence and uniqueness of the adapted solution to a backward stochastic differential equation under a weaker condition than the Lipschitz one.

Original language	English
Pages (from-to)	281-292
Number of pages	12
Journal	Stochastic Processes and their Applications
Volume	58
Issue number	2
DOIs	https://doi.org/10.1016/0304-4149(95)00024-2
Publication status	Published - 1995

Keywords

adapted solution
backward stochastic differential equation
Bihari's inequality

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title = "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients",

abstract = "In this paper we shall establish a new theorem on the existence and uniqueness of the adapted solution to a backward stochastic differential equation under a weaker condition than the Lipschitz one. ",

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AB - In this paper we shall establish a new theorem on the existence and uniqueness of the adapted solution to a backward stochastic differential equation under a weaker condition than the Lipschitz one.

KW - adapted solution

KW - backward stochastic differential equation

KW - Bihari's inequality

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JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

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ER -

Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

Abstract

Keywords

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