Rough backward stochastic differential equations

Abstract

We develop an intrinsic well-posedness theory for nonlinear backward stochastic differential equations (BSDEs) driven simultaneously by Brownian motion and a (level-$2$) rough path of finite $p$-variation. Unlike earlier approaches based on smooth approximation or transformation methods, we formulate the equation directly by viewing its solution as a rough semimartingale (in the sense of \cite{friz2023rough}). This framework is particularly suited to BSDEs, whose Brownian martingale component is only implicitly defined and lacks the \emph{a priori} time regularity required by stochastic-sewing-based controlled rough path methods \cite{fhl21,allan2024rough}. We establish comparison, existence, uniqueness, and stability under the natural regularity condition $H\in C_b^\gamma$, $\gamma>p$. The main analytical difficulty, namely, the loss of integrability arising from nonlinear composition, is overcome through conditional $p$-variation norms with BMO-type properties. Finally, by randomizing the rough driver as a Brownian rough path, we establish a direct correspondence between rough BSDEs and backward doubly stochastic differential equations (BDSDEs).