Finite and infinite time horizon for BSDE with Poisson jumps

2012/10/04 by Ahmadou Bamba Sow, Sow, Ahmadou Bamba
Mathematics · #60G44 #60H05 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G44 #msc:60H05

paper · pdf · doi:10.48550/arxiv.1210.1490

arxiv created 2012/10/04 · arxiv updated 2012/10/05

Abstract

This paper is devoted to solving a real valued backward stochastic differential equation with jumps where the time horizon may be finite or infinite. Under linear growth generator, we prove existence of a minimal solution. Using a comparison theorem we show existence and uniqueness of solution to such equations when the generator is uniformly continuous and satisfies a weakly monotonic condition.

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