BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND HEDGING WITH WIENER-POISSON STRATEGIES

In this paper we show the existence and uniqueness of the adapted solution of a class of BSDE's driven by both a Wiener Process and a compensated Poisson process (the linear case of this problem has been studied, independently, also by Barles, Buckdhan and Pardoux). Besides, we give an application of this result to Finance Theory. Namely, we show that in a complete market model with discontinuous prices, hedging strategies have to satisfy a linear BSDE, also under a different perspective than Bardhan and Chao's one.