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arXiv · 1403.1379

$L^p$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients

ShengJun Fan·Long Jiang
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Abstract

In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) in $L^p\ (p>1)$ 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 $L^p\ (p>1)$ to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which includes the corresponding results in \citet{Par90}, \citet{Mao95}, \citet{Chen97}, \citet{Cons01}, \citet{Wang03}, \citet{Chen00} and \citet{Wang09} as its particular cases.

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BibTeXRIS

ShengJun Fan, Long Jiang. 2014-03-06. $L^p$ solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients. https://doi.org/10.1080/17442508.2011.615933

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