J. Aust. Math. Soc.
74 (2003), 249-266
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Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
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Zhen Wu
School of Mathematics and System Science
Shandong University
Jinan 250100
China
wuzhen@sdu.edu.cn
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Abstract
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We first give the existence and uniqueness
result and a comparison theorem for backward
stochastic differential equations with Brownian
motion and Poisson process as the noise source in
stopping time (unbounded) duration. Then we
obtain the existence and uniqueness result for
fully coupled forward-backward stochastic
differential equation with Brownian motion and
Poisson process in stopping time (unbounded)
duration. We also proved a comparison theorem for
this kind of equation.
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