On existence and uniqueness of solutions to uncertain backward stochastic differential equations
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Abstract: This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an -dimensional Brownian motion and a -dimensional canonical process with uniform Lipschitzian coefficients. Such equations can be useful in modelling hybrid systems, where the phenomena are simultaneously subjected to two kinds of uncertainties: randomness and uncertainty. The solutions of UBSDEs are the uncertain stochastic processes. Thus, the existence and uniqueness of solutions to UBSDEs with Lipschitzian coefficients are proved.
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