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L p Solutions of BSDEs with Stochastic Lipschitz Condition

Author

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  • Jiajie Wang
  • Qikang Ran
  • Qihong Chen

Abstract

We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in L p with p > 1 .

Suggested Citation

  • Jiajie Wang & Qikang Ran & Qihong Chen, 2007. "L p Solutions of BSDEs with Stochastic Lipschitz Condition," International Journal of Stochastic Analysis, Hindawi, vol. 2007, pages 1-14, March.
    • Handle: RePEc:hin:jnijsa:078196
    DOI: 10.1155/2007/78196
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    Cited by:

    1. Mastrolia, Thibaut, 2018. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 897-938.
    2. Chao Yu & Yuhan Cheng, 2023. "Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider," Mathematics, MDPI, vol. 11(20), pages 1-38, October.

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