solutions of bsdes with stochastic lipschitz condition解决方案的戈随机李普希兹条件.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics and Stochastic Analysis Volume 2007, Article ID 78196, 14 pages doi:10.1155/2007/78196 Research Article Lp Solutions of BSDEs with Stochastic Lipschitz Condition Jiajie Wang, Qikang Ran, and Qihong Chen Received 6 March 2006; Revised 4 December 2006; Accepted 21 December 2006 We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continu- ity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in Lp with p 1. Copyright © 2007 Jiajie Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction In this paper, we study backward stochastic differential equations (BSDEs for short) of the form −dY = f t, Y ,Z dt −Z dW , Y = ξ, (1.1) t t t t t τ where τ is a bounded stopping time for the filtration F. Since the first result about the solutions in L2 was obtained by Pardoux and Peng [ 1], some related results have been generalized. Moreover, for mathematical interest, many people have studied the results of existence and uniqueness in Lp . Let us mention that when the generator is uniformly Lipschitz continuous, a result of El Karoui et al. [2] provides the existence of a solution when the data ξ and {f (t,0,0)}t∈[0,T] are in Lp for p ∈ (1, ∞). But in many applications, Lipschitz condition is too restrictive to be assumed. Consequently, we are interested in replacing the Lipschitz condition with a weaker one and we always assume that τ is bounded. In this field, in [3], Briand and Carmona have discu