SOLUTION TO BSDE WITH NONHOMOGENEOUS JUMPS UNDER LOCALLY LIPSCHITZIAN CONDITION

SOLUTION TO BSDE WITH NONHOMOGENEOUS JUMPS UNDER LOCALLY LIPSCHITZIAN CONDITION

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摘要 In this paper, we investigate the existence and uniqueness of the solution to a quasilinear backward stochastic differential equation with Poisson jumps. By introducing a series of approximate equations, we can show that BSDE has a unique adapted solution. In this paper, we investigate the existence and uniqueness of the solution to a quasilinear backward stochastic differential equation with Poisson jumps. By introducing a series of approximate equations, we can show that BSDE has a unique adapted solution.

作者 Xie Zhenyun, Xia Ningmao (Dept. of Math., East China University of Science and Technology, Shanghai 200237)

出处《Annals of Differential Equations》 2008年第4期443-450,共8页 微分方程年刊（英文版）

关键词 backward stochastic differential equation nonhomogeneous Poisson process existence and uniqueness backward stochastic differential equation nonhomogeneous Poisson process existence and uniqueness

分类号 O175 [理学—基础数学]

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参考文献10

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1Yan Qin, Ningmao Xia (Dept. of Math., East China University of Science and Technology, Shanghai 200237).ADAPTED SOLUTION TO BSDES WITH POISSON JUMPS UNDER NON-GROWTH CONDITION[J].Annals of Differential Equations,2010,26(3):303-313.
2WU Shuang,SHU Lan.A Maximum Principle for General Backward Stochastic Differential Equation[J].Journal of Systems Science & Complexity,2016,29(6):1505-1518.
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4Wei Liu,Fengying Wei,Ke Wang.EXISTENCE AND UNIQUENESS OF SOLUTIONS TO A BACKWARD STOCHASTIC DIFFERENTIAL EQUATION[J].Annals of Differential Equations,2013,29(3):295-304.
5Siyun Xu Zhuhua Han.Research on problem about technology insurance pricing based on backward stochastic differential equation theory[J].International Journal of Technology Management,2015(6):5-7.
6LU Min,WANG Zeng-wu.A General Converse Comparison Theorem for Backward Stochastic Differential Equation with Non-lipschitz Coefficient[J].Chinese Quarterly Journal of Mathematics,2009,24(4):568-573.
7谢臻赟,刘奕.Variational Approach for the Adapted Solution of Backw ard Stochastic Differential Equations with Locally Lipschitz Diffusion Coefficients[J].Journal of Donghua University(English Edition),2012,29(4):341-350. 被引量：1
8PALANISAMY Muthukumar,CHINNATHAMBI Rajivganthi.Approximate Controllability of Second-Order Neutral Stochastic Differential Equations with Infinite Delay and Poisson Jumps[J].Journal of Systems Engineering and Electronics,2015,26(5):1033-1048. 被引量：4
9Xiangyun LIN,Rui ZHANG.H_∞ CONTROL FOR STOCHASTIC SYSTEMS WITH POISSON JUMPS[J].Journal of Systems Science & Complexity,2011,24(4):683-700. 被引量：4
10Yan-ling GuSchool of Mathematics and System Sciences, Shandong University, Jinan 250100, China.Infinite Interval Backward Stochastic Differential Equations in the Plane[J].Acta Mathematicae Applicatae Sinica,2003,19(3):485-490. 被引量：1

Annals of Differential Equations

2008年第4期

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SOLUTION TO BSDE WITH NONHOMOGENEOUS JUMPS UNDER LOCALLY LIPSCHITZIAN CONDITION

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