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arXiv · 1508.06671

Multidimensional BSDEs with uniformly continuous coefficients: the general result

Min Li·Yufeng Shi
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Abstract

In this paper, by introducing a new notion of envelope of the stochastic process, we construct a family of random differential equations whose solutions can be viewed as solutions of a family of ordinary differential equations and prove that the multidimensional backward stochastic differential equations (BSDEs for short) with the general uniformly continuous coefficients are uniquely solvable. As a result, we solve the open problem of multidimensional BSDEs with uniformly continuous coefficients.

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Min Li, Yufeng Shi. 2015-08-26. Multidimensional BSDEs with uniformly continuous coefficients: the general result. https://arxiv.org/abs/1508.06671

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