Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps

DOI10.1515/ROSE-2020-2044MaRDI QIDQ2660765zbMATH OpenOpenAlexWikidataFDO

Authors AbdulRahman Al-Hussein, Boulekhrass Gherbal

Publication date 31 March 2021

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.01875

zbMATH Keywords

continuation methodexistenceforward-backward doubly stochastic differential equationsmonotonicity conditionPoisson processuniqueness

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense that initial and terminal values depend on solutions, and are not just fixed random variables. We establish under some monotonicity conditions, the existence and uniqueness of strong solutions of such equations by using a continuation method.

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Cited in

(6)

• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Discontinuous backward doubly stochastic differential equations with Poisson jumps
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