文献类型：期刊文献

英文题名：Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition

作者：Qin, Yan[1];Xia, Ning-Mao[1]

机构：[1]E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2013

卷号：83

期号：4

起止页码：1271

外文期刊名：STATISTICS & PROBABILITY LETTERS

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000317090600042)】；

基金：Supported by The National Natural Science Foundation (11002055) (China) and Fundamental Research Funds for the East China University of Science and Technology (WM1114040).

语种：英文

外文关键词：Variational approach; Stochastic differential equation; Existence; Uniqueness

摘要：In this paper, we study the existence and uniqueness of the adapted solution of a backward stochastic differential equation with a general diffusion coefficient. By using the idea of Brownian bridge, and changing the control term from the diffusion coefficient to the drift coefficient, we prove the existence of the solution under the Bihari condition, which extends the E-well posed condition (Peng, 1994). The uniqueness properties of the solution are also discussed in this paper. Crown Copyright (C) 2013 Published by Elsevier B.V. All rights reserved.