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Backward stochastic differential equations with non-Lipschitz coefficients

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  • Wang, Ying
  • Huang, Zhen

Abstract

This paper deals with a class of backward stochastic differential equations (BSDEs in short). Under a kind of non-Lipschitz assumptions, the authors obtain the existence and uniqueness of solution to BSDE.

Suggested Citation

  • Wang, Ying & Huang, Zhen, 2009. "Backward stochastic differential equations with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 79(12), pages 1438-1443, June.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:12:p:1438-1443
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    References listed on IDEAS

    as
    1. Mao, Xuerong, 1995. "Adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 58(2), pages 281-292, August.
    2. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
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    Cited by:

    1. Fan, ShengJun & Jiang, Long, 2010. "Finite and infinite time interval BSDEs with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 962-968, June.
    2. Zhang, Wei & Jiang, Long, 2021. "Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 171(C).
    3. Yu, Xianye, 2019. "Non-Lipschitz anticipated backward stochastic differential equations driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    4. Tie Wang & Siyu Cui, 2022. "Anticipated Backward Doubly Stochastic Differential Equations with Non-Lipschitz Coefficients," Mathematics, MDPI, vol. 10(3), pages 1-18, January.
    5. Sun, Mingmei & Xu, Meng, 2017. "Exponential stability and interval stability of a class of stochastic hybrid systems driven by both Brownian motion and Poisson jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 487(C), pages 58-73.
    6. Cui, Fengfeng & Zhao, Weidong, 2023. "Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 193(C).

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