First, there's none of the brain district which is responsible for the formation of the jealous, again, jsut like any other emotional feeling, it's a complex result formed by the actions of different brain districts.
Jealous at least include four other emotions: about fear, sexual emotion, aggression and depression. Just we simplify the text. Why someone want something? One of the reason may be that person is afraid of something. Because he is afraid of lacking something, he need or want something to maintain his thinking, so this explain that jealous include fear. The second one is sexual emotion, someone has just mentioned, so I won't make a further explanation. And the following is the aggression, if someone want something, of course he has to fight for it. But if he fail, and though he has tried lots of times, he is still fail, then he started to be depressed, depression covered the releasing of neurotransmitters. So, in summary, I think the formation includes the outside environmental factors and the inside neuro-actions: when someone recieve soem certain outside stimulants, his internal systems start to be activated, no finally, he feels jealous of something.