$L^p$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
Probability
2014-03-21 v1
Abstract
In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) in under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of solutions in to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which includes the corresponding results in \citet{Par90}, \citet{Mao95}, \citet{Chen97}, \citet{Cons01}, \citet{Wang03}, \citet{Chen00} and \citet{Wang09} as its particular cases.
Keywords
Cite
@article{arxiv.1403.1379,
title = {$L^p$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients},
author = {ShengJun Fan and Long Jiang},
journal= {arXiv preprint arXiv:1403.1379},
year = {2014}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1402.6773