L^psolutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients

Abstract

In this paper, we are interested in solving multidimensional backward stochastic differential equations (BSDEs) in L p (p > 1) under weaker assumptions on the coefficients, considering both a finite and an infinite time interval. We establish a general existence and uniqueness result of solutions in L p (p > 1) to finite and infinite time interval BSDEs with non-Lipschitz coefficients, which includes the corresponding results in Pardoux and Peng [11]

Lp-SOLUTIONS FOR REFLECTED BSDES WITH TIME DELAYED GENERATORS

“…Very recently, some works have been done to derive the results on the existence and uniqueness of a solution for the standard BSDE (1.1) or RBSDE (1.2) in the case when the data belongs only to L p for some p ∈]1, 2[. For more details, we refer the readers to Chen [1], Fan and Jiang [12], Hamadène and Popier [17] and the references therein.…”