On the Solution of Locally Lipschitz BSDE Associated to Jump Markov Process
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Publication:6311575
arXiv1812.09723MaRDI QIDQ6311575FDOQ6311575
Authors: K. Abdelhadi, Nabil Khelfallah 
Publication date: 23 December 2018
Abstract: In this study, we consider a class of backward SDE driven by jump Markov process. An existence and uniqueness result to this kind of equations is obtained in a locally Lipschitz case. We essentially approximate the initial problem by constructing a convenient sequence of globally Lipschitz BSDEs having the existence and the uniqueness propriety. Then, we show, by passing to the limits, the existence, and uniqueness of a solution to the initial problem. After that, a stability theorem is also proved in the local Lipschitz setting. Applying the aforementioned result, we give an application to European option pricing with constraint.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes (60Jxx)
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