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Multidimensional backward stochastic differential equations with left-Lipschitz coefficients. (English) Zbl 1296.60161

Summary: We consider multidimensional backward stochastic differential equations with coefficients which are left-Lipschitz w.r.t. \(y\) and Lipschitz w.r.t. \(z\) without explicit constraints on the growth. An existence theorem of minimal solution is established in this framework. We also relate it to the hedging problem for interacting economic agents.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
91G80 Financial applications of other theories
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