Finite and infinite time interval BSDEs with non-Lipschitz coefficients

DOI10.1016/J.SPL.2010.02.009zbMath1194.60038OpenAlexW2082006220MaRDI QIDQ973176

Long Jiang, Sheng-Jun Fan

Publication date: 28 May 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.02.009

zbMATH Keywords

existence and uniquenessbackward stochastic differential equationinfinite time intervalnon-Lipschitz coefficientsMao's condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (8)

Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion ⋮ Multidimensional BSDEs with weak monotonicity and general growth generators ⋮ \(L^p (p > 1)\) solutions of BSDEs with generators satisfying some non-uniform conditions in \(t\) and \(\omega\) ⋮ \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting ⋮ Infinite time interval RBSDEs with non-Lipschitz coefficients ⋮ L^p (p ≥ 1) solutions of multidimensional BSDEs with monotone generators in general time intervals ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Backward stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations with continuous coefficient
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• BSDE with quadratic growth and unbounded terminal value

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