Backward stochastic differential equations: The locally Lipschitz case (Q1378147): Difference between revisions

It is proved that the backward stochastic differential equation \[ Y_t= \xi+ \int^T_t f(s,Y_s, Z_s)ds- \int^T_t Z_sdB_s \] has a solution when \(\xi\) is bounded, \(f\) is locally Lipschitz in \((y,z)\) and such that there exist \(c>0\), \(\alpha\in]0,2[\) and \(h: \mathbb{R}_+\to \mathbb{R}\), finite on compact sets, with for all \(t\), \(\omega\), \(y\), \(z\), \(| f(t,\omega,y,z)|\leq c(1+| y|+ h(y)| z|^\alpha)\). The author proves also the uniqueness of the solution when \(| f(t,y,z)|\leq c(1+| y|+| z|)\), \(f\) non-random, and \(| f_y'(t, y,z)|\leq (1+\ln(1+ \ln(1+| y|+| z|)))\) and \(\xi\) is in \(\mathbb{D}^{1,2}\) such that \(| D^i_t\xi|\leq M\) for all \(t\leq T\), \(i=1,\dots,p\).