Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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MULTIDIMENSIONAL BSDES WITH UNIFORMLY CONTINUOUS GENERATORS AND GENERAL TIME INTERVALS

  • Fan, Shengjun (College of Sciences China University of Mining and Technology, School of Mathematical Sciences Fudan University) ;
  • Wang, Yanbin (College of Sciences China University of Mining and Technology) ;
  • Xiao, Lishun (College of Sciences China University of Mining and Technology)
  • Received : 2014.01.02
  • Published : 2015.03.31
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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.

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Acknowledgement

Supported by : National Natural Science Foundation of China

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