一类非Lipschitz条件的Backward SDE适应解的存在唯一性

Adapted Solutions of Backward SDE with Non-Lipschitz Coefficients

  • 摘要: 本文中,我们在非Lipschitz条件下证明了倒向随机微分方程的局部与整体适应解的存在唯一性,推广了Paxdoux-Peng定理。

     

    Abstract: In this paper, we prove the existence and uniqueness of the locally and globally adapted solutions of backward stochastic differential equations with non-Lipschitz coefficients, which generalizes the Pardoux-Peng Theorem.

     

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