eldorado.tu-dortmund.de/server/api/core/bitstreams/17ed61bf-edc9-4c51-a2df-417d35dccbf8/content
∈ R, the function h(x) is differentiable with derivative h′(x) such that the function
(x, ξ) ∈ R× R 7→ `(x, ξ; e) := ξ2(h′(x)e+ 1)
satisfies one of the following conditions uniformly in (x, ξ) ∈ R× R
`(x [...] variable in some space V and H : (0,∞) × V → R is a measurable function such that for every v ∈ V, r 7→ |H(r, v)| is nonincreasing. Then, it holds that
Lt L= ∞∑ i=1
H
( Gi T , Vi
) 1[0,t](Ti)− tci, (6)
for [...] solution of the original FBSDE
Xt = X0 + t
0 b(s,Xs)ds+
t
0 a(s,Xs)dBs +
t
0
R h(s,Xs−)eµ̃(de, ds) (7)
Yt = g(XT ) + T
t
f(s,Xs, Ys, Zs,Γs)ds− T
t
ZsdBs − T
t
R Us(e)eµ̃(de, ds), (8)
where Γs = R …
