Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type (Q382148)

A multidimensional BSDE is considered: \[ y_t=\xi+\int_t^T g(s,y_s,z_s)ds-\int_t^T z_sdB_s,\;t\in [0,T]. \] \(\xi\) is a \(k\)-dimensional random vector, \(B\) is a \(d\)-dimensional Brownian motion, \[ g(\omega, t, y, z): \Omega\times [0, T]\times\mathbb R^k\times\mathbb R^{k\times d}\to\mathbb R^k. \] The following theorem is the main result of this paper (assumptions below). {Theorem.} Let \(g\) satisfy assumptions {(H1)--(H3)}. Then, for each \(\xi\in L^2(\mathcal F_T;\mathbb R^k)\), the BSDE with parameters \((\xi, T, g)\) has a unique solution. (H1) \(g\) satisfies the Osgood condition in \(y\), i.e., there exists a nondecreasing and concave function \(\rho(\cdot):\mathbb R^+\to\mathbb R^+\) with \(\rho(0) = 0, \rho(u) > 0\) for \(u > 0,\) and \[ \int_{0^+}\frac{du}{\rho(u)} = +\infty \] such that \(dP\times dt\)-a.e., \[ \forall y_1, y_2 \in\mathbb R^k, z \in\mathbb R^{k\times d},\quad |g(\omega, t, y_1, z) - g(\omega, t, y_2, z)| \leq \rho(|y_1 - y_2|). \] (H2) \(g\) is Lipschitz continuous in \(z\), i.e., there exists a constant \(\mu\geq 0\) such that \(dP\times dt\)-a.e., \[ \forall y \in\mathbb R^k, z_1, z_2 \in\mathbb R^{k\times d},\quad |g(\omega, t, y, z_1) - g(\omega, t, y, z_2)| \leq |z_1 - z_2|. \] (H3) \[ \operatorname E\left[\left(\int_0^T|g(t, 0, 0)|dt\right)^2\right] < +\infty. \] In the last section, the authors show that their result generalizes the corresponding results in [\textit{G. Constantin}, An. Univ. Timiş., Ser. Mat.-Inform. 39, No. 2, 15--22 (2001; Zbl 1047.60057); \textit{S. Hamadène}, Bernoulli 9, No. 3, 517--534 (2003; Zbl 1048.60047); \textit{X.-R. Mao}, Stochastic Processes Appl. 58, No. 2, 281--292 (1995; Zbl 0835.60049)].