Infinite Time Interval BSDEs Driven by a Lévy Process
In this paper, we study the infinite time interval backward stochastic differential equations (BSDEs) driven by a Lévy process. A existence and uniqueness theorem for solution of the BSDEs is established, which can be considered a generalization of existence and uniqueness theorem of BSDEs. A continuous dependence theorem for solutions of the BSDEs is also given.
Shaobo Zhong, Yimin Cheng and Xilong Qu
S. Q. Zheng et al., "Infinite Time Interval BSDEs Driven by a Lévy Process", Applied Mechanics and Materials, Vols. 50-51, pp. 293-297, 2011