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BSDES With Stochastic Lipschitz Condition

Author

Listed:
  • Bender, Christian
  • Kohlmann, Michael
Abstract
We prove an existence and uniqueness theorem for backward stochastic differential equations driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one.

Suggested Citation

  • Bender, Christian & Kohlmann, Michael, 2000. "BSDES With Stochastic Lipschitz Condition," CoFE Discussion Papers 00/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0008
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    File URL: https://www.econstor.eu/bitstream/10419/85163/1/dp00-08.pdf
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    Citations

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    Cited by:

    1. Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
    2. Yingxu Tian & Zhongyang Sun & Junyi Guo, 2022. "Optimal Mean-Variance Investment-Reinsurance Strategy for a Dependent Risk Model with Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1169-1191, June.
    3. Thibaut Mastrolia, 2016. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Papers 1602.06101, arXiv.org.
    4. Mastrolia, Thibaut, 2018. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 897-938.
    5. Zhongyang Sun & Junyi Guo, 2018. "Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(1), pages 59-79, August.
    6. Yumo Zhang, 2022. "Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate," Annals of Finance, Springer, vol. 18(4), pages 511-544, December.
    7. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
    8. Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2016. "Existence and uniqueness results for BSDEs with jumps: the whole nine yards," Papers 1607.04214, arXiv.org, revised Nov 2018.

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