Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE
We deal with backward stochastic differential equations (BSDE for short) driven by Teugel’s martingales and an independent Brownian motion. We study the existence, uniqueness and comparison of solutions for these equations under a Lipschitz as well as a locally Lipschitz conditions on the coefficien...
Main Authors: | , , , , |
---|---|
Other Authors: | |
Format: | Text |
Language: | English |
Published: |
2002
|
Subjects: | |
Online Access: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.493.1197 http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf |
id |
ftciteseerx:oai:CiteSeerX.psu:10.1.1.493.1197 |
---|---|
record_format |
openpolar |
spelling |
ftciteseerx:oai:CiteSeerX.psu:10.1.1.493.1197 2023-05-15T17:32:18+02:00 Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE K. Bahlali M. Eddahbi Universite ́ Cadi Ayyad Marrakech Maroc E. Essaky The Pennsylvania State University CiteSeerX Archives 2002 application/pdf http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.493.1197 http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf en eng http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.493.1197 http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf Metadata may be used without restrictions as long as the oai identifier remains attached to it. http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf Lévy Processes Teugel’s Mar- tingales Partial Differential Integral Equations Clark-Ocone Formula text 2002 ftciteseerx 2016-08-14T00:06:00Z We deal with backward stochastic differential equations (BSDE for short) driven by Teugel’s martingales and an independent Brownian motion. We study the existence, uniqueness and comparison of solutions for these equations under a Lipschitz as well as a locally Lipschitz conditions on the coefficient. In the locally Lipschitz case, we prove that if the Lipschitz constant LN behaves as log(N) in the ball B(0, N), then the corresponding BSDE has a unique solution which depends continuously on the on the coefficient and the terminal data. This is done with an unbounded terminal data. As application, we give a probabilistic interpretation for a large class of partial differential integral equations (PDIE for short). Text North Atlantic Unknown |
institution |
Open Polar |
collection |
Unknown |
op_collection_id |
ftciteseerx |
language |
English |
topic |
Lévy Processes Teugel’s Mar- tingales Partial Differential Integral Equations Clark-Ocone Formula |
spellingShingle |
Lévy Processes Teugel’s Mar- tingales Partial Differential Integral Equations Clark-Ocone Formula K. Bahlali M. Eddahbi Universite ́ Cadi Ayyad Marrakech Maroc E. Essaky Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
topic_facet |
Lévy Processes Teugel’s Mar- tingales Partial Differential Integral Equations Clark-Ocone Formula |
description |
We deal with backward stochastic differential equations (BSDE for short) driven by Teugel’s martingales and an independent Brownian motion. We study the existence, uniqueness and comparison of solutions for these equations under a Lipschitz as well as a locally Lipschitz conditions on the coefficient. In the locally Lipschitz case, we prove that if the Lipschitz constant LN behaves as log(N) in the ball B(0, N), then the corresponding BSDE has a unique solution which depends continuously on the on the coefficient and the terminal data. This is done with an unbounded terminal data. As application, we give a probabilistic interpretation for a large class of partial differential integral equations (PDIE for short). |
author2 |
The Pennsylvania State University CiteSeerX Archives |
format |
Text |
author |
K. Bahlali M. Eddahbi Universite ́ Cadi Ayyad Marrakech Maroc E. Essaky |
author_facet |
K. Bahlali M. Eddahbi Universite ́ Cadi Ayyad Marrakech Maroc E. Essaky |
author_sort |
K. Bahlali |
title |
Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
title_short |
Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
title_full |
Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
title_fullStr |
Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
title_full_unstemmed |
Journal of Applied Mathematics and Stochastic Analysis, 16:1 (2003), 1-17. Printed in the USA c©2003 by North Atlantic Science Publishing Company BSDE ASSOCIATED WITH LÉVY PROCESSES AND APPLICATION TO PDIE |
title_sort |
journal of applied mathematics and stochastic analysis, 16:1 (2003), 1-17. printed in the usa c©2003 by north atlantic science publishing company bsde associated with lévy processes and application to pdie |
publishDate |
2002 |
url |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.493.1197 http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf |
genre |
North Atlantic |
genre_facet |
North Atlantic |
op_source |
http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf |
op_relation |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.493.1197 http://emis.maths.adelaide.edu.au/journals/HOA/JAMSA/Volume16_1/17.pdf |
op_rights |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
_version_ |
1766130355815841792 |