Finite and infinite time interval BSDEs with non-Lipschitz coefficients

ShengJun Fan and Long Jiang

Statistics & Probability Letters, 2010, vol. 80, issue 11-12, 962-968

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: Backward; stochastic; differential; equation; Infinite; time; interval; Non-Lipschitz; coefficients; Mao's; condition; Existence; and; uniqueness (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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