On existence and uniqueness of solutions to uncertain backward stochastic differential equations
Probability
2014-01-30 v1
Abstract
This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an -dimensional Brownian motion and a -dimensional canonical process with uniform Lipschitzian coefficients. Such equations can be useful in modelling hybrid systems, where the phenomena are simultaneously subjected to two kinds of uncertainties: randomness and uncertainty. The solutions of UBSDEs are the uncertain stochastic processes. Thus, the existence and uniqueness of solutions to UBSDEs with Lipschitzian coefficients are proved.
Keywords
Cite
@article{arxiv.1401.7403,
title = {On existence and uniqueness of solutions to uncertain backward stochastic differential equations},
author = {Weiyin Fei},
journal= {arXiv preprint arXiv:1401.7403},
year = {2014}
}