Multidimensional BSDEs with uniformly continuous coefficients: the general result
Probability
2015-08-28 v1
Abstract
In this paper, by introducing a new notion of envelope of the stochastic process, we construct a family of random differential equations whose solutions can be viewed as solutions of a family of ordinary differential equations and prove that the multidimensional backward stochastic differential equations (BSDEs for short) with the general uniformly continuous coefficients are uniquely solvable. As a result, we solve the open problem of multidimensional BSDEs with uniformly continuous coefficients.
Keywords
Cite
@article{arxiv.1508.06671,
title = {Multidimensional BSDEs with uniformly continuous coefficients: the general result},
author = {Min Li and Yufeng Shi},
journal= {arXiv preprint arXiv:1508.06671},
year = {2015}
}
Comments
20 pages