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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 interpretation of quasi-linear elliptic type integro-differential equations

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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 integro-differential equations is obtained.

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Authors and Affiliations

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

    Situ Rong Professor, Doctor Director & Wang Yueping

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  1. Situ Rong Professor, Doctor Director
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  2. Wang Yueping
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Additional information

Communicated by Chien Weizang

Foundation item: the National Natural Science Foundation of China (79790130); the Foundation of Zhongshan University Front Research

Biography: Situ Rong (1935 −)

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Rong, S., Yueping, W. On solutions of backward stochastic differential equations with jumps, with unbounded stopping times as terminal and with non-lipschitz coefficients, and probabilistic interpretation of quasi-linear elliptic type integro-differential equations. Appl Math Mech 21, 659–672 (2000). https://doi.org/10.1007/BF02460185

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  • DOI: https://doi.org/10.1007/BF02460185

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