L p solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
L p solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients
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DOI：
10.1080/17442508.2011.615933
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发表时间：
2012-08
期刊：
影响因子：
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通讯作者：
Shengjun Fan;Long Jiang
中科院分区：
文献类型：
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作者：
Shengjun Fan;Long Jiang
在本文中，我们有兴趣解决多维倒向随机微分方程（BSDES）的系数较弱的假设下，考虑有限和无限的时间间隔。本文建立了非Lipschitz系数的有限和无限时间区间倒向随机微分方程解的存在唯一性的一般结果，推广了Pardoux和Peng [Syst. ControlLett. 14（1990），pp. 55-61]，Mao [Stoch. Proc.Appl.58（1995），pp. 281-292]，Chen and Wang [Chin. Sci. Bull. 42（1997），pp. 2379-2383]，Constantin [Analele Universitänsiii din Timietoara，Seria Matematicials-InformaticialsXXXIX（2001），pp. 15-22]，Wang and Wang [Chin. J. Appl. Probab.中央集权主义者19（2003），pp. 245-251]，Chen和Wang [J. Austral. Math. Soc.（Ser.A）69（2000），pp. 187-211]和王和黄[Stat.概率快报79（2009），pp. 1438-1443）的特殊情况。
In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) in under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of solutions in to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which includes the corresponding results in Pardoux and Peng [Syst. Control Lett. 14 (1990), pp. 55–61], Mao [Stoch. Proc. Appl. 58 (1995), pp. 281–292], Chen and Wang [Chin. Sci. Bull. 42 (1997), pp. 2379–2383], Constantin [Analele Universităţii din Timişoara, Seria Matematică-Informatică XXXIX (2001), pp. 15–22], Wang and Wang [Chin. J. Appl. Probab. Statist. 19 (2003), pp. 245–251], Chen and Wang [J. Austral. Math. Soc. (Ser. A) 69 (2000), pp. 187–211] and Wang and Huang [Stat. Probability Lett. 79 (2009), pp. 1438–1443] as its particular cases.