L p Solutions of BSDEs with Stochastic Lipschitz Condition

Jiajie Wang, Qikang Ran and Qihong Chen

International Journal of Stochastic Analysis, 2007, vol. 2007, 1-14

Abstract:

We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in L p with p > 1 .

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:078196

DOI: 10.1155/2007/78196

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