\(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition (Q2478410): Difference between revisions

The authors of the present paper investigate multi-dimensional backward stochastic differential equations (BSDEs) governed by a Brownian motion, which driving coefficient is supposed to satisfy a stochastic Lipschitz condition. They prove the existence and uniqueness of the solution in \(L^p\), for \(p>1\). Proceeding in their approach like Briand, Delyon, Hu, Pardoux and Stoica (2003), they construct a sequence of special BSDEs with unique solutions in \(L^2\), and they prove then the convergence of this sequence of solutions in \(L^p\). The generalization of the work by \textit{Ph.\,Briand} et al. [Stochastic Processes Appl. 108, No. 1, 109--129 (2003; Zbl 1075.65503)] consists in the fact that their Lipschitz constants for the driving coefficient have been replaced now by stochastic processes.