$L^p$-Estimate for Infinite Horizon Decoupled Forward–Backward Stochastic Differential Equations with Jumps

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2026年6月24日

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Sheng Luo,
Xun Li,
Qingmeng Wei

摘要

This paper is devoted to infinite time horizon forward and backward stochastic differential equations (FBSDEs) with jumps. For the forward equation, we introduce a new dissipativity condition in order to guarantee global integrability and stability results of the solution in $L^p$ $L^{p}$ -sense ( $p\geqslant 2$ $p ⩾ 2$ ). Further, the well-posedness and regularity results in $L^p$ $L^{p}$ -sense ( $p\geqslant 2$ $p ⩾ 2$ ) for the backward equation are studied. We also establish a comparison theorem for the backward equation.

\(L^p\)-Estimate for Infinite Horizon Decoupled Forward–Backward Stochastic Differential Equations with Jumps

摘要