Generalized BSDE driven by a Lévy process

Mohamed El Otmani

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-25

Abstract:

We study the solution of one-dimensional generalized backward stochastic differential equation driven by Teugels martingales and an independent Brownian motion. We prove existence and uniqueness of the solution when the coefficient verifies some conditions of Lipschitz. If the coefficient is left continuous, increasing, and bounded, we prove the existence of a solution.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:085407

DOI: 10.1155/JAMSA/2006/85407

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