MULTIDIMENSIONAL BSDES WITH UNIFORMLY CONTINUOUS GENERATORS AND GENERAL TIME INTERVALS

- Journal title : Bulletin of the Korean Mathematical Society
- Volume 52, Issue 2, 2015, pp.483-504
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/BKMS.2015.52.2.483

Title & Authors

MULTIDIMENSIONAL BSDES WITH UNIFORMLY CONTINUOUS GENERATORS AND GENERAL TIME INTERVALS

Fan, Shengjun; Wang, Yanbin; Xiao, Lishun;

Fan, Shengjun; Wang, Yanbin; Xiao, Lishun;

Abstract

This paper is devoted to solving a multidimensional backward stochastic differential equation with a general time interval, where the generator is uniformly continuous in (y, z) non-uniformly with respect to t. By establishing some results on deterministic backward differential equations with general time intervals, and by virtue of Girsanov`s theorem and convolution technique, we prove a new existence and uniqueness result for solutions of this kind of backward stochastic differential equations, which extends the results of [8] and [6] to the general time interval case.

Keywords

backward stochastic differential equation;general time interval;existence and uniqueness;uniformly continuous generator;

Language

English

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