On solutions of forward-backward stochastic differential equations with Poisson jumps

被引：21

作者：

Yin, JL ^{[1
]}

SiTu, R

机构：

[1] Jinan Univ, Dept Stat, Guangzhou 510632, Peoples R China

[2] Zhongshan Univ, Dept Math, Guangzhou, Peoples R China

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2003年 / 21卷 / 06期

关键词：

forward-backward stochastic differential equations with jumps; unbounded stopping time; Ito's formula; convergence theorem;

D O I：

10.1081/SAP-120026113

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we use a purely probabilistic approach to study forward-backward differential equations with Poisson jumps with stopping time as termination. Under some weak monotonicity conditions and Lipschitz conditions, the existence and uniqueness results of solutions are obtained, it may be served as the generalized results contrast to FBDE with Brownian motion. We also derive the convergence theorem of the solutions.

引用

页码：1419 / 1448

页数：30

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