Journal of Applied Mathematics and Stochastic Analysis
Volume 2007 (2007), Article ID 78196, 14 pages
Solutions of BSDEs with Stochastic Lipschitz Condition
Department of Applied Mathematics, Shanghai University of Finance & Economics, Shanghai 200433, China
Received 6 March 2006; Revised 4 December 2006; Accepted 21 December 2006
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.
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 continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in with .