讨论了带跳的BSDE:Yt=ξ+∫t^ Tf(s,Ys,Zs)ds-∫t^ TZsdMs,0≤t≤T,其中驱动过程Mt=(Wt,Qt)^T,Wt=(W1(t),W2(t),…,Wr(t))是一个r维的标准Winner过程,令Nt=(N1(t),N2(t),…,Nd-r(t)^)T是一族相互独立的Poisson过程,且W和N相互独立,λ=(λ1,λ2,…,λd-r)^T为其参数,定义Qt=(Q1(t),Q2(t),…,Qd-r(t))^T为一族补偿Poisson过程,其中Qi(t)=λi^-1/2[Ni(t)-λit],0≤t≤T,i=1,2,…,d-r.通过构造函数逼近序列的方法,证明了飘移系数f关于y满足随机单调,关于z满足随机Lipschitz条件下,上述方程适应解的存在唯一性问题,并对文[9]中常系数线性增长条件作了改进.
We study the solution of a backward stochastic differential equation with poisson jump:Yt=ξ+∫t^ Tf(s,Ys,Zs)ds-∫t^ TZsdMs,0≤t≤T,where M=(W,Q)^T,W is an r dimensional standard Winner process and Q is a (d-r)-dimensional compensated Poisson process ,and the elements of W and Q to be independent of each other. By using a series of approximate equations, we prove the existence and uniqueness of the adapted solution when the coefficient f satisfies a stochastic monotonic condition in Y,and f satisfies a stochastic Lipschitz in Z.