BSDE associated with Lévy processes and application to PDIE

K. Bahlali, M. Eddahbi and E. Essaky

International Journal of Stochastic Analysis, 2003, vol. 16, 1-17

Abstract:

We deal with backward stochastic differential equations (BSDE for short) driven by Teugel's martingales and an independent Brownian motion. We study the existence, uniqueness and comparison of solutions for these equations under a Lipschitz as well as a locally Lipschitz conditions on the coefficient. In the locally Lipschitz case, we prove that if the Lipschitz constant L N behaves as log ( N ) in the ball B ( 0 , N ) , then the corresponding BSDE has a unique solution which depends continuously on the on the coefficient and the terminal data. This is done with an unbounded terminal data. As application, we give a probabilistic interpretation for a large class of partial differential integral equations (PDIE for short).

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/16/402141.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/16/402141.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:402141

DOI: 10.1155/S1048953303000017

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().