Yin, J. and Mao, X. and , NSF of Guangdong Province (Funder) (2008) The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications. Journal of Mathematical Analysis and Applications, 346 (2). pp. 345358. ISSN 0022247X

PDF (165redactYin_Mao_JMAA.pdf)
165redactYin_Mao_JMAA.pdf Download (194kB)  Preview 
Abstract
This paper deals with a class of backward stochastic differential equations with Poisson jumps and with random terminal times. We prove the existence and uniqueness result of adapted solution for such a BSDE under the assumption of nonLipschitzian coefficient. We also derive two comparison theorems by applying a general Girsanov theorem and the linearized technique on the coefficient. By these we first show the existence and uniqueness of minimal solution for onedimensional BSDE with jumps when its coefficient is continuous and has a linear growth. Then we give a general FeynmanKac formula for a class of parabolic types of secondorder partial differential and integral equations (PDIEs) by using the solution of corresponding BSDE with jumps. Finally, we exploit above FeynmanKac formula and related comparison theorem to provide a probabilistic formula for the viscosity solution of a quasilinear PDIE of parabolic type.
Item type:  Article 

ID code:  13866 
Keywords:  Backward stochastic differential equations, Poisson point process, Comparison theorem, Feynman–Kac formula, Viscosity solution, PDIEs, Mathematics, Analysis, Applied Mathematics 
Subjects:  Science > Mathematics 
Department:  Faculty of Science > Mathematics and Statistics 
Depositing user:  Mrs Carolynne Westwood 
Date Deposited:  17 Dec 2009 15:24 
Last modified:  25 Jul 2015 08:48 
URI:  http://strathprints.strath.ac.uk/id/eprint/13866 
Actions (login required)
View Item 