Aboubakary Diakhaby
Ibrahima Faye
Ahmadou B. Sow
Abstract: This paper is devoted to solving a real-valued backward stochastic differential
equation with jumps where the time horizon may be finite or infinite. Under a linear
growth generator, we prove the existence of a minimal solution. Using a comparison
theorem we show the existence and uniqueness of solution to such equations when the
generator is uniformly continuous and satisfies a weakly monotonic condition.
2000 AMS Mathematics Subject Classification: Primary: 60H05, 60G44.
Keywords and phrases: Backward stochastic differential equation, Poisson random
measure, Doléans-Dade exponential.