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The limitation theorem of g-supersolution for BSDEs under non-Lipschitzian coefficient

HAN Bao-yan1，ZHU Bo2 and SHI Yu-feng3   

  1. 1. Shandong Univ. of Art and Design, Jinan 250014, Shandong, China;2. School of Mathematics and Statistics, Shandong Economic Univ., Jinan 250014, Shandong, China;3. School of Math. and System Sci., Shandong Univ., Jinan 250100, Shandong, China
  • Received:2005-09-28 Revised:1900-01-01 Online:2006-10-24 Published:2006-10-24
  • Contact: HAN Bao-yan1

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Abstract: A limitation theorem of g-supersolution for BSDEs under non-Lipschitzian coefficient is proved. In order to get the result, the existence and uniqueness of the solution for a class of BSDEs with the same drift coefficient g are investigated, and the comparison theorem is obtained.

Key words: g-supersolution , the comparison theorem, the existence and uniqueness, BSDE

CLC Number: 

  • O211.63
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