Lp estimates for fully coupled FBSDEs with jumps

Juan Li and Qingmeng Wei

Stochastic Processes and their Applications, 2014, vol. 124, issue 4, 1582-1611

Abstract: In this paper we study some useful estimates, in particular, Lp estimates, for fully coupled forward–backward stochastic differential equations (FBSDEs) with jumps. These estimates are proved at one hand for fully coupled FBSDEs with jumps under the monotonicity assumption for arbitrary time intervals and on the other hand for such equations on small time intervals. Moreover, the well-posedness of this kind of equation is studied and regularity results are obtained.

Keywords: Fully coupled FBSDEs with jumps; Lp estimates (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2013.12.005

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