The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions

Shuheng Tu, Wu Hao and Jing Chen

Statistics & Probability Letters, 2017, vol. 126, issue C, 7-17

Abstract: This paper considers a class of anticipated backward stochastic differential equations with Poisson jumps (ABSDEJs). We prove the existence and uniqueness result of adapted solutions for such ABSDEJs under some weak assumption conditions. We also derive some comparison theorems by applying Girsanov Theorem.

Keywords: Anticipated backward stochastic differential equation; Comparison; Weak conditions; Poisson random measure (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.02.022

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