Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: DJIBRIL NDIAYE
Pages: [43] - [64]
Received Date: June 20, 2012
Submitted by:
In this work, we prove the existence of a solution of a class of forward backward stochastic differential equations (FBSDEs) with Poisson jumps by weakening the usual Lipschitz conditions on the generator of the backward equation with jumps and the drift of the forward equation with jumps. These coefficients are monotonic but can be discontinuous and the diffusion term can be degenerated.
forward backward stochastic differential equations, Poisson process, comparison theorem, increasing process.
