On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations

Situ Rong; Wang Yueping

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Article Navigation > Applied Mathematics and Mechanics > 2000 > 21(6): 597-609

Situ Rong, Wang Yueping. On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations[J]. Applied Mathematics and Mechanics, 2000, 21(6): 597-609.

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On Solutions of Backward Stochastic Differential Equations With Jumps,With Unbounded Stopping Times as Terminal and With Non-Lipschitz Coefficients,and Probabilistic Interpretationof Quasi-Linear Elliptic TypeIntegro-Differential Equations

Department of Mathematics, Zhongshan University, Guangzhou 510275, P R China

Received Date: 1999-04-15
Rev Recd Date: 2000-02-20
Publish Date: 2000-06-15

Abstract

Abstract

The existence and uniqueness of solutions to backward stochastic differential equations with jumps and with unbounded stopping time as terminal under the non-Lipschitz condition are obtained.The convergence of solutions and the continuous dependence of solutions on parameters are also derived.Then the probabilistic interpretation of solutions to some kinds of quasi-linear elliptic type integrodifferential equations is obtained.

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References(9)

References

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