Finite and infinite time horizon for BSDE with Poisson jumps
classification
🧮 math.PR
keywords
existencefinitegeneratorhorizoninfinitejumpssolutiontime
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This paper is devoted to solving a real valued backward stochastic differential equation with jumps where the time horizon may be finite or infinite. Under linear growth generator, we prove existence of a minimal solution. Using a comparison theorem we show existence and uniqueness of solution to such equations when the generator is uniformly continuous and satisfies a weakly monotonic condition.
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