On existence and uniqueness of solutions to uncertain backward stochastic differential equations

DOI10.1007/S11766-014-3048-YzbMATH Open1313.60099arXiv1401.7403OpenAlexW2139787494MaRDI QIDQ462275FDOQ462275

Authors: Weiyin Fei 

Publication date: 3 November 2014

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Abstract: This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an $m$-dimensional Brownian motion and a $d$-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.

Full work available at URL: https://arxiv.org/abs/1401.7403

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zbMATH Keywords

existence and uniquenesscanonical processLipschitzian conditionmartingale representation theoremuncertain backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (5)

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• Existence and uniqueness of uncertain fractional backward difference equations of Riemann-Liouville type
• A stock model with jumps for Itô-Liu financial markets
• On solutions to fuzzy stochastic differential equations with local martingales

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