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On Comparison Theorem and Solutions of BSDEs for Lévy Processes

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Abstract

In this paper, we consider backward stochastic differential equations driven by a Lévy process. A comparison theorem and an existence and uniqueness theorem of BSDEs with non-Lipschitz coefficients are obtained.

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Authors and Affiliations

  1. School of Science, Beijing University of Posts and Telecommunications, Beijing, 100876, China

    Qing Zhou

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  1. Qing Zhou
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Correspondence to Qing Zhou.

Additional information

Supported by the National Natural Science Foundation of China (No. 10671205).

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Zhou, Q. On Comparison Theorem and Solutions of BSDEs for Lévy Processes. Acta Mathematicae Applicatae Sinica, English Series 23, 513–522 (2007). https://doi.org/10.1007/s10255-007-0391-2

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  • DOI: https://doi.org/10.1007/s10255-007-0391-2

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