Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type

Abstract

This paper is interested in solving a multidimensional backward stochastic differential equation (BSDE) whose generator satisfies the Osgood condition in y and the Lipschitz condition in z. We establish an existence and uniqueness result of solutions for this kind of BSDEs, which generalizes some known results.

Keywords

Backward stochastic differential equation / Osgood condition / Mao’s condition / Constantin’s condition

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