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- Title
Existence and uniqueness of the solutions of forward-backward doubly stochastic differential equations with Poisson jumps.
- Authors
Al-Hussein, AbdulRahman; Gherbal, Boulakhras
- Abstract
The paper addresses a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. These equations are allowed to live in Euclidean spaces of different dimensions, and the system is Markovian in the sense that the terminal value of the backward equation depends on the terminal value of the solution of the forward one. Under some monotonicity conditions we establish the existence and uniqueness of strong solutions of such equations by using a continuation method.
- Subjects
STOCHASTIC differential equations; CONTINUATION methods; UNIQUENESS (Mathematics); NONLINEAR systems
- Publication
Random Operators & Stochastic Equations, 2020, Vol 28, Issue 4, p253
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2020-2044