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2002 Existence and Uniqueness of Solutions for BSDEs with Locally Lipschitz Coefficient
Khaled Bahlali
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Electron. Commun. Probab. 7: 169-179 (2002). DOI: 10.1214/ECP.v7-1058

Abstract

We deal with multidimensional backward stochastic differential equations (BSDE) with locally Lipschitz coefficient in both variables $ y,z $ and an only square integrable terminal data. Let $ L_N $ be the Lipschitz constant of the coefficient on the ball $ B(0,N) $ of $ R^d\times R^{dr} $. We prove that if $ L_N = O (\sqrt {\log N }) $, then the corresponding BSDE has a unique solution. Moreover, the stability of the solution is established under the same assumptions. In the case where the terminal data is bounded, we establish the existence and uniqueness of the solution also when the coefficient has an arbitrary growth (in $ y $) and without restriction on the behaviour of the Lipschitz constant $ L_N $.

Citation

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Khaled Bahlali. "Existence and Uniqueness of Solutions for BSDEs with Locally Lipschitz Coefficient." Electron. Commun. Probab. 7 169 - 179, 2002. https://doi.org/10.1214/ECP.v7-1058

Information

Accepted: 5 August 2002; Published: 2002
First available in Project Euclid: 16 May 2016

zbMATH: 1008.60075
MathSciNet: MR1937902
Digital Object Identifier: 10.1214/ECP.v7-1058

Subjects:
Primary: 60H10

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