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Multidimensional BSDE with Poisson Jumps in Finite Time Horizon

Volume 19, Number 1 (2016), 21 - 36

Multidimensional BSDE with Poisson Jumps in Finite Time Horizon

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Abstract

This paper is devoted to solve a multidimensional backward stochastic differential equation with jumps in finite time horizon. Under weak monotonicity condition on the generator and by means of suitable sequences, we prove existence and uniqueness of solution.