Finite and infinite time interval of BDSDEs driven by Lévy processes (Q352778)

Let NEWLINE\[NEWLINE\begin{multlined} Y_t= \xi+ \int^T_t f(r,\Theta_r)\,dr+ \int^T_t g(r,\Theta_r)\,dB_r-\\ \int^T_t Z_r dW_r- \int^T_t \int_E U_r\widetilde\mu(dr, de),\quad 0\leq t\leq T,\end{multlined}\tag{1}NEWLINE\]NEWLINE where \((B_t)_{0\leq t\leq T}\) is a \(1\)-dimensional Brownian motion, \((W_t)_{0\leq t\leq T}\) is a \(d\)-dimensional Brownian motion, \(\mu\) is a Poisson random measure on \(E\times R_+\), \(R^l-\{0\}\), \(\Theta_r= (Y_r, Z_r, U_r)\).NEWLINENEWLINE Let \(S^2_{[0,T]}(R^q)\) denote space of \(F_t\)-adapted cadlàg processes \(\psi:[0, T]\times\Omega\to R^q\), NEWLINE\[NEWLINE\|\psi\|^2_{S^2}= E\Biggl(\sup_{0\leq t\leq T}|\psi_t|^2\Biggr)< \infty,NEWLINE\]NEWLINE \(H^2_{[0,T]}(R^q)\) denote space of \(F_t\)-progressively measurable processes \(\psi: [0,T]\times \Omega\to R^q\), NEWLINE\[NEWLINE\|\psi\|^2_{H^2}= E\Biggl(\int^T_0 |\psi_t|^2\,dt\Biggr)< \infty,NEWLINE\]NEWLINE \(L^2_{[0,T]}(\widetilde\mu, R^q)\) denote the space of measurable mappings \(U:\Omega\times [0,T]\times E\to R^q\), NEWLINE\[NEWLINE\| U\|^2_{L^2}= E\int^T_0 \int_E |U_t(e)|^2\lambda(de)\,dt< \infty,NEWLINE\]NEWLINE \(B^2= S^2_{[0,T]}(R^q)\times H^2_{[0,T]}(R^q)\times L^2_{[0,T]}(\widetilde\mu, R^q)\).NEWLINENEWLINE A triplet of processes \((Y_t, Z_t, U_t)_{0\leq t\leq T}\) is called a solution of (1), if \((Y_t, Z_t, U_t)\in B^2\) and satisfies (1).NEWLINENEWLINE The authors show that under certain assumptions for \(\xi\in L^2(\Omega, F_T, P)\) BDSDE (1) has a unique solution.