Journal
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
Volume 406, Issue 2, Pages 365-372Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jmaa.2013.02.071
Keywords
Backward stochastic differential equation; Adapted solution; Comparison theorem
Categories
Funding
- National Natural Science Foundation (China) [11002055]
- Fundamental Research Funds for the East China University of Science and Technology [WM1114040]
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In this paper, we deal with the one-dimensional backward stochastic differential equation (BSDE) driven by Poisson processes. By means of the comparison theorem, we first prove the existence of a (minimal) solution for BSDE where the coefficient is continuous and satisfies an improved linear growth assumption. Then we extend the result to the case where the coefficient is left or right continuous. Crown Copyright (C) 2013 Published by Elsevier Inc. All rights reserved.
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