Frontiers of Mathematics in China >

2013 , Vol. 8 >Issue 4: 811 - 824

DOI: https://doi.org/10.1007/s11464-013-0298-6

RESEARCH ARTICLE

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

  • Shengjun FAN 1 ,
  • Long JIANG , 1 ,
  • Matt DAVISON 2
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  • 1. College of Sciences, China University of Mining and Technology, Xuzhou 221116, China
  • 2. Department of Applied Mathematics, University of Western Ontario, London, ON N6A 5B7, Canada

Received date: 22 Dec 2009

Accepted date: 08 Mar 2013

Published date: 01 Aug 2013

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg
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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.

Key words： Backward stochastic differential equation; Osgood condition; Mao’s condition; Constantin’s condition

Cite this article

Shengjun FAN , Long JIANG , Matt DAVISON . Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type[J]. Frontiers of Mathematics in China, 2013 , 8(4) : 811 -824 . DOI: 10.1007/s11464-013-0298-6

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