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math.PR2016★ 21 cited
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems
Zhiyong Yu
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and u…
math.PR2008★ 4 cited
The Equivalence between Uniqueness and Continuous Dependence of Solution for BSDEs with Continuous Coefficient
Guangyan Jia, Zhiyong Yu
In this paper, we will prove that, if the coefficient of a BSDE is assumed to be continuous and linear growth in , then the uniqueness of solution and continuou…