Multidimensional Backward Stochastic Differential Equations with Left-Lipschitz Coefficients

作者：Xu, Yuhong^*

来源：Journal of Mathematical Sciences-The University of Tokyo, 2013, 20(1): 115-126.

• Backward stochastic differential equation
• discontinuous coefficient
• minimal solution
• maximal solution

In this note, we consider multidimensional backward stochastic differential equations with coefficients which are left-Lipschitz w.r.t. y and Lipschitz w.r.t. z and without explicit constraints on the growth. An existence theorem of minimal solution is established in this framework. We also relate it to the hedging problem for interacting economic agents.

• 出版日期2013
• 单位苏州大学