Backward stochastic differential equations with an unbounded generator

Bujar Gashi, Jiajie Li

Published 2014-10-09Version 1

We consider a class of backward stochastic differential equations with a possibly unbounded generator. Under a Lipschitz-type condition, we give sufficient conditions for the existence of a unique solution pair, which are weaker than the existing ones. We also give a comparison theorem as a generalisation of Peng's result.