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A CLASS OF CONFORMABLE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS.
- Source :
-
Miskolc Mathematical Notes . 2022, Vol. 23 Issue 2, p811-845. 35p. - Publication Year :
- 2022
-
Abstract
- In this paper, we study conformable backward stochastic differential equations driven by a Brownian motion and a compensated random measure. We derive the conformable Itˆo's formula with jumps and a priori estimates and we obtain the existence and uniqueness of solutions under some assumptions in the framework of the conformable derivative. In addition we get a predictable representation of the solution. Comparison theorems for the operator g under different conditions are given. We also establish the inverse comparison theorem for the operator g under a Lipschitz condition. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 17872405
- Volume :
- 23
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Miskolc Mathematical Notes
- Publication Type :
- Academic Journal
- Accession number :
- 161263594
- Full Text :
- https://doi.org/10.18514/MMN.2022.3766