Infinite Time Interval BSDEs Driven by a Lévy Process

Shi Qiu Zheng; Ai Min Yang; Dian Xuan Gong; Qiu Mei Liu; Ya Mian Peng

doi:10.4028/www.scientific.net/AMM.50-51.293

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 50-51Infinite Time Interval BSDEs Driven by a Lévy...

Infinite Time Interval BSDEs Driven by a Lévy Process

Abstract:

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.

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Periodical:

Applied Mechanics and Materials (Volumes 50-51)

Pages:

293-297

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.50-51.293

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Online since:

February 2011

Authors:

Shi Qiu Zheng, Ai Min Yang, Dian Xuan Gong, Qiu Mei Liu, Ya Mian Peng

Keywords:

Backward Stochastic Differential Equation, Lévy Process, Teugels Martingale

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References

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