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, 2008,47(1):5-8.
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, 2008,47(1):5-8.DOI:
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