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李娟

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Lp estimates for fully coupled FBSDEs with jumps

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Stochastic Processes and their Applications,2014,124(4):1582-1611 | 2014年04月01日 | https://doi.org/10.1016/j.spa.2013.12.005

URL:https://www.sciencedirect.com/science/article/pii/S0304414913003025?via%3Dihub

摘要/描述

In this paper we study some useful estimates, in particular, Lp estimates, for fully coupled forward–backward stochastic differential equations (FBSDEs) with jumps. These estimates are proved at one hand for fully coupled FBSDEs with jumps under the monotonicity assumption for arbitrary time intervals and on the other hand for such equations on small time intervals. Moreover, the well-posedness of this kind of equation is studied and regularity results are obtained.

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