On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps

DOI10.1081/SAP-120026113zbMath1037.60062MaRDI QIDQ4432683

Juliang Yin, Rong Situ

Publication date: 28 October 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

forward-backward stochastic differential equationconvergence theoremstability resultmonotonicity assumptionsFBSDE with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (13)

Sufficient Conditions of Optimality for Forward-Backward Doubly SDEs with Jumps ⋮ Hilbert space-valued forward-backward stochastic differential equations with Poisson jumps and applications ⋮ Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps ⋮ Four step scheme for general Markovian forward-backward SDEs ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Multidimensional BSDEs with weak monotonicity and general growth generators ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor ⋮ The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications ⋮ \(L^p\) solutions of multidimensional BSDEs with weak monotonicity and general growth generators ⋮ On solutions of a class of infinite horizon FBSDEs ⋮ Consumption optimization for recursive utility in a jump-diffusion model

Cites Work

• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• On solutions of backward stochastic differential equations with jumps and applications
• Infinite horizon forward-backward stochastic differential equations
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Solution of forward-backward stochastic differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Existence and uniqueness for BSDE with stopping time
• Unnamed Item

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