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.

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.

In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By means of a measure transformation we introduce a variance reduced version of the forward...