Generalized Bsde Driven by a Lévy Process
نویسنده
چکیده
A linear version of backward stochastic differential equations (BSDEs) was first studied by Bismut [4] as the adjoint processes in the maximum principal of stochastic control. Pardoux and Peng in [20] introduced the notion of nonlinear BSDE. Since then, the interest in BSDEs has increased. Indeed, BSDEs provide connection with mathematical finance [10], stochastic control [11], and stochastic game [9]. On the other hand, this class of BSDEs is a powerful tool to give probabilistic formulas for solution of partial differential equations (see [18, 19]). Given a Brownian motion (Wt)0≤t≤T , we denote by ( t)0≤t≤T its natural filtration. Consider the nonlinear BSDE:
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