EXISTENCE AND UNIQUENESS OF SOLUTIONS TO A BACKWARD STOCHASTIC DIFFERENTIAL EQUATION

• 作者: Fengying Wei Ke Wang Wei Liu
• 来源期刊: 微分方程年刊：英文版
• 学科: 数学
• 关键词: EXISTENCE and UNIQUENESS PICARD ITERATION CAUCHY sequence BACKWARD stochastic diferential equation
• 年，卷（期）: 2013,（3）
• 页码范围: 295-304
• 页数: 10页
• 分类号: O211.63

摘要

A backward stochastic diferential equation is discussed in this paper. Under some weaker conditions than uniformly Lipschitzian condition given by Pardoux and Peng(1990), using Picard interaction and Cauchy sequence, the existence and uniqueness of the solutions to the backward stochastic diferential equation.