BSDE associated with Lévy processes and application to PDIE英文文献资料.docVIP

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BSDE associated with Lévy processes and application to PDIE英文文献资料.doc

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BSDE associated with Lévy processes and application to PDIE英文文献资料

Journal of Applied Mathematics and Stochastic Analysis,16:1 (2003),1-17. PrintedintheUSAc2003byNorthAtlanticSciencePublishingCompany ′ BSDEASSOCIATEDWITHLEVYPROCESSES ANDAPPLICATIONTOPDIE K.BAHLALI UFRSciences UVT, BP 132, 83957 La Garde Cedex, France1 CPT, CNRS, Luminy. Case 907 13288 Marseille Cedex 9, France E-mail: bahlali@univ-tln.fr M.EDDAHBI Universit′eCadiAyyad Facult′e des Sciences et Techniques2 D′epartment de Math Info., BP 549 Marrakech, Maroc E-mail: eddahbi@fstg-marrakech.ac.ma E.ESSAKY Universit′eCadiAyyad Facult′e des Sciences Semlalia3 D′epartement de Math′ematiques, BP 2390 Marrakech, Maroc E-mail: essaky@ucam.ac.ma (ReceivedApril,2002;RevisedNovember,2002) We deal with backward stochastic di?erential equations (BSDE for short) driven by Teugel’s martingales and an independent Brownian motion. We study the existence, uniqueness andcomparisonofsolutionsfortheseequationsunderaLipschitz aswellas a locally Lipschitz conditions on the coe?cient. In the locally Lipschitz case, we prove that if the Lipschitz constant LN behaves as log(N) in the ball B(0,N), then the correspondingBSDE has a unique solution which depends continuously on the on the coe?cient and the terminal data. This is done with an unbounded terminal data. As application, we give a probabilistic interpretation for a large class of partial di?erential integralequations(PDIEforshort). Keywords. BackwardStochasticDi?erentialEquations,L′evyProcesses,Teugel’sMar- tingales,PartialDi?erentialIntegralEquations,Clark-OconeFormula. AMS (MOS) subject classi?cation: 60H10,60H15 1Supported byCMEP,077/2001. 2Supported by CNRST RG/MATHS/AF/AC. Maroc/CNRS France, 8310-2000 and TWAS grant 98-199 3Supported byCMIFM,A.I.no MA/01/02. 1 2 K.BAHLALI,M.EDDAHBIandE.ESSAKY 1 Introduction Sincethepaper[8]ofPardouxandPeng,severalworkshavebeendevotedtothestudy of BSDEs as well as to their applications. This is due to the connections of BSDEs withstochastic optimalcontrol andstochastic games (Hamad`