Journal of Applied Mathematics and Stochastic Analysis 
Volume 2007 (2007), Article ID 78196, 14 pages
doi:10.1155/2007/78196
Research Article

Lp Solutions of BSDEs with Stochastic Lipschitz Condition

Jiajie Wang, Qikang Ran, and Qihong Chen

 Department of Applied Mathematics, Shanghai University of Finance & Economics, Shanghai 200433, China
Received 6 March 2006; Revised 4 December 2006; Accepted 21 December 2006

Abstract

We are concerned with the solutions of a special class of backward stochastic differential equations which are driven by a Brownian motion, where the uniform Lipschitz continuity is replaced by a stochastic one. We prove the existence and uniqueness of the solution in Lp with p>1.