Existence and uniqueness result for multidimensional BSDEs with generators of Osgood type |
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| Authors: | Shengjun FAN Long JIANG Matt DAVISON |
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| Institution: | 1. College of Sciences, China University of Mining and Technology, Xuzhou 221116, China
2. Department of Applied Mathematics, University of Western Ontario,London, ON N6A 5B7, Canada |
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| Abstract: | This paper is interested in solving a multidimensional backward stochastic differential equation (BSDE) whose generator satisfies the Osgood condition in y and the Lipschitz condition in z. We establish an existence and uniqueness result of solutions for this kind of BSDEs, which generalizes some known results. |
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| Keywords: | Backward stochastic differential equation Osgood condition Mao's condition Constantin's condition |
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