Lin Qinquan, Yang Feng. The Smallest $g$-Supersolution for BSDE with Jumps[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(2): 123-132.
Citation:
Lin Qinquan, Yang Feng. The Smallest $g$-Supersolution for BSDE with Jumps[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(2): 123-132.
Lin Qinquan, Yang Feng. The Smallest $g$-Supersolution for BSDE with Jumps[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(2): 123-132.
Citation:
Lin Qinquan, Yang Feng. The Smallest $g$-Supersolution for BSDE with Jumps[J]. Chinese Journal of Applied Probability and Statistics, 2007, 23(2): 123-132.
For Backward Stochastic Differential Equation with jumps and an increasing predictable RCLL process as its penalization term, we have defined g-supersolution for such a BSDE and obtained the limit theorem. As an application of the limit theorem, the existence and uniqueness of the smallest supersolution for BSDE with jumps and constraints on (Y,Z,q) is proved.
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