BSDE driven by a simple Lévy process with continuous coefficient

Mohamed El Otmani

Statistics & Probability Letters, 2008, vol. 78, issue 11, 1259-1265

Abstract: In this paper, we study the solution of a backward stochastic differential equation driven by a simple Lévy process. We show the existence of a (minimal) solution when the coefficient is continuous with linear growth, or left continuous increasing and bounded.

Date: 2008
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