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^*

^*Corresponding author for this work

Mathematics And Statistics

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

178 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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Cite this

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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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author = "Xuerong Mao",

year = "1995",

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language = "English",

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T1 - Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients

AU - Mao, Xuerong

PY - 1995

Y1 - 1995

N2 - 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.

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

UR - https://www.scopus.com/pages/publications/0000169259

U2 - 10.1016/0304-4149(95)00024-2

DO - 10.1016/0304-4149(95)00024-2

M3 - Article

AN - SCOPUS:0000169259

SN - 0304-4149

VL - 58

SP - 281

EP - 292

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

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

Abstract

Keywords

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