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arxiv: 1210.1490 · v1 · pith:656XETDFnew · submitted 2012-10-04 · 🧮 math.PR

Finite and infinite time horizon for BSDE with Poisson jumps

classification 🧮 math.PR
keywords existencefinitegeneratorhorizoninfinitejumpssolutiontime
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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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