The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

DOI10.1016/j.jmaa.2008.05.072zbMath1157.60061MaRDI QIDQ936592

Xuerong Mao, Juliang Yin

Publication date: 19 August 2008

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/13866/1/165redactYin_Mao_JMAA.pdf

zbMATH Keywords

viscosity solution; comparison theorem; Feynman-Kac formula; backward stochastic differential equation; BSDE backward stochastic differential equation; BSDE with jumps; PDIE; PDIE solution

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G57: Random measures

60H20: Stochastic integral equations

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