Infinite time interval backward stochastic differential equations with continuous coefficients

Springerplus. 2016 Oct 6;5(1):1733. doi: 10.1186/s40064-016-3419-3. eCollection 2016.

Abstract

In this paper, we study the existence theorem for [Formula: see text] [Formula: see text] solutions to a class of 1-dimensional infinite time interval backward stochastic differential equations (BSDEs) under the conditions that the coefficients are continuous and have linear growths. We also obtain the existence of a minimal solution. Furthermore, we study the existence and uniqueness theorem for [Formula: see text] [Formula: see text] solutions of infinite time interval BSDEs with non-uniformly Lipschitz coefficients. It should be pointed out that the assumptions of this result is weaker than that of Theorem 3.1 in Zong (Turkish J Math 37:704-718, 2013).

Keywords: Backward stochastic; Comparison theorem; Differential equation (BSDE); Linear growth condition.