Existence of Solutions for Forward-Backward Stochastic Differential Equations with Jumps and Non-Lipschitzian Coefficients
Received:October 08, 2002  
Key Word: Forward-backward stochastic differential equations   Unbounded stopping time   Non-Lipschitzian coefficients   Priori estimate.  
Fund ProjectL:Supported by China Postdoctoral Science Foundation (2003034315) and China National Statistics Science Foundation (LX01-113).
Author NameAffiliation
YIN Ju-liang Dept. of Statistics
Jinan University
Guangzhou
China
School of Math.
Nankai University
Tianjin
China 
SITU Rong Dept. of Math.
Zhongshan University
Guangzhou
China 
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Abstract:
      This paper studies for ward-back ward differential equations with Poisson jumps and with stopping time as termination. Under some weak monotonicity conditions and for non-Lipschitzian coefficients, the existence and uniqueness of solutions are proved via a purely probabilistic approach, while a priori estimate is given. Here, we allow the forward equation to be degenerate.
Citation:
DOI:10.3770/j.issn:1000-341X.2004.04.002
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