Results 181 to 190 of about 932 (203)

Backward stochastic differential equations with non-Lipschitz coefficients

Statistics & Probability Letters, 2009
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Wang, Ying, Huang, Zhen
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Backward doubly stochastic differential equations with non-Lipschitz coefficients

Random Operators and Stochastic Equations, 2008
Abstract We prove an existence and uniqueness result for backward doubly stochastic differential equations whose coefficients satisfy non-Lipschitz assumptions.
Modeste N’Zi, Jean-Marc Owo
exaly   +3 more sources

On the stochastic integral equations with non-lipschitz coefficients

Stochastic Analysis and Applications, 2002
Consider the stochastic integral equation (S.I.E.) where f satisfies some non-Lipschitz condition and H,Z are F t -semimartingales, continuous or discontinuous, on some probability space (Ω,F,{F t } t∈R + ,P). We prove that if f satisfies Condition H 1 or H 2 (defined in Sec. 0), then both the existence and the uniqueness of the solutions of 1 hold.
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Mean‐field backward stochastic differential equation with non‐Lipschitz coefficient

Asian Journal of Control, 2019
AbstractThis paper establishes a new existence and uniqueness result of a solution for one dimensional mean‐field backward stochastic differential equation (MFBSDE), where its coefficient is weaker than the classical Lipschitz case. An example is given to illustrate its applicability.
Guangchen Wang, Huanjun Zhang
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Anticipated backward stochastic differential equations with left-Lipschitz coefficient

Statistics & Probability Letters, 2020
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Xiong, Yafang, Xu, Xiaoming
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Fuzzy stochastic differential equations of decreasing fuzziness: Non-Lipschitz coefficients

Journal of Intelligent & Fuzzy Systems, 2016
We study fuzzy stochastic differential equations driven by multidimensional Brownian motion with solutions of decreasing fuzziness. The drift and diffusion coefficients are random. Under a non-Lipschitz condition, the existence and pathwise uniqueness of solutions to such the equations are proven.
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Anticipated backward stochastic differential equations with non-Lipschitz coefficients

Statistics and Probability Letters, 2012
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Wenyuan Wang
exaly   +2 more sources

On the Stochastic Maximum Principle in Optimal Control of Degenerate Diffusions with Lipschitz Coefficients

Applied Mathematics and Optimization, 2007
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Bahlali, Khaled, Djehiche, Boualem, Mezerdi, Brahim   +2 more
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Backward stochastic differential equations with locally Lipschitz coefficient

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, 2001
The author considers the multi-dimensional backward stochastic differential equation for \(t\in [0,1]\), \[ Y_t=\xi+\int_t^1 f(s,Y_s,Z_s)ds-\int_t^1 Z_sdW_s. \] It is proved that this equation has a unique solution \((Y_t,Z_t)\) if 1) \(f\) is progressively measurable; 2) \(f\) is of sublinear growth: \(|f(t,y,z)|\leq M(1+|y|^\alpha+|z|^\alpha)\); 3) \(
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Multivalued stochastic differential equations with non-Lipschitz coefficients

Chinese Annals of Mathematics, Series B, 2009
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