On Solutions and Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations with Poisson Jumps

YIN Ju-liang; SITU Rong

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On Solutions and Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations with Poisson Jumps

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- On Solutions and Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations with Poisson Jumps
- Acta Scientiarum Naturalium Universitatis SunYatseni Vol. 47, Issue 1, Pages: 5-8(2008)
- 作者机构：
  
  1. 暨南大学统计学系,广东,广州,510630
  2. ．中山大学数学系,广东,广州,510275
- 作者简介：
- 基金信息：
- DOI：
  CLC：
- Published：2008，
  
  Published Online：25 January 2008，
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YIN Ju-liang, SITU Rong. On Solutions and Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations with Poisson Jumps. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 47(1):5-8(2008)
DOI：

YIN Ju-liang, SITU Rong. On Solutions and Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations with Poisson Jumps. [J]. Acta Scientiarum Naturalium Universitatis SunYatseni 47(1):5-8(2008) DOI：

摘要

研究了无穷水平跳扩散正—倒向随机微分方程解的存在唯一性以及比较定理。首先，在非李氏系数和弱单调性条件下，运用平滑技术，证明了无穷水平跳扩散正-倒向随机微分方程适应解的存在唯一性。在此基础上，利用停时技术和广义Tanaka公式，证明了上述方程适应解的比较定理。

Abstract

Existence and uniqueness and comparison theorems of solutions to infinite horizon forward-backward stochastic differential equations with Poisson jumps (FBSDEs) are discussed. Firstly

the existence and uniqueness of adapted solutions to such FBSDEs is proved by applying smoothing technique under assumptions of non-Lipschitz conditions and weak monotonicity on the coefficients. Then two comparison theorems for such FBSDEs are derived by using stopping time method and the Tanaka formula.

关键词

跳扩散正—倒向随机微分方程适应解比较定理Tanaka公式

Keywords

forward-backward stochastic differential equations with Poisson jumpsadapted solutioncomparison theoremTanaka formula

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