Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153236 | Statistics & Probability Letters | 2010 | 7 Pages |
Abstract
This paper aims at solving multidimensional backward stochastic differential equations (BSDEs) under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of the solutions to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which generalizes the corresponding results in Mao (1995), Wang and Wang (2003), Wang and Huang (2009), Chen (1997) and Chen and Wang (2000).
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
ShengJun Fan, Long Jiang,