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...

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.