Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure

Abstract

This paper is concerned with backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. The motivation is a constrained stochastic Riccati equation derived from a stochastic linear quadratic optimal control problem with both Poisson and Markovian jumps. The existence and uniqueness of an adapted solution under global Lipschitz condition on the generator is obtained. The continuous dependence of the solution on parameters is proved. Two comparison theorems are also derived by a generalized Girsanov transformation theorem.