Contribution on the existence of solutions of coupled FBSDEs with monotone coefficients

Ndiaye, Djibril

J. Math. Comput. Sci. 3 (2013), 720–735

Contribution on the existence of solutions of coupled FBSDEs with monotone coefficients

Djibril Ndiaye

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Abstract

In this paper, we prove existence of a solution of a class of Forward Backward Stochastic Differential Equations (FBSDE) with Poisson random jumps by weakening the usual Lipschitz conditions on the generator of the backward equation with jumps and the drift of the forward equation with jumps. These coefficients are monotonic but can be discontinuous and the diffusion term can be degenerated.

Published: 15 May 2013
Volume: 3 (2013)
License: CC BY 3.0

Copyright © 2013 Djibril Ndiaye. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

D. Ndiaye, Contribution on the existence of solutions of coupled FBSDEs with monotone coefficients, J. Math. Comput. Sci. 3 (2013), 720–735.

BibTeX

@article{Ndiaye2013,
  author  = {Ndiaye, Djibril},
  title   = {Contribution on the existence of solutions of coupled FBSDEs with monotone coefficients},
  journal = {J. Math. Comput. Sci.},
  volume  = {3},
  year    = {2013},
  pages   = {720--735},
  doi     = {}
}