L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting
Publikationen: Beitrag in Fachzeitschrift › Artikel › Forschung › (peer-reviewed)
Autoren
Organisationseinheiten
Externe Organisationseinheiten
- Universität Graz
Abstract
We present a unified approach to L p-solutions (p> 1) of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy processes and more general filtrations. New existence, uniqueness and comparison results are obtained. The generator functions obey a time-dependent extended monotonicity (Osgood) condition in the y-variable and have general growth in y. Within this setting, the results generalize those of Royer, Yin and Mao, Yao, Kruse and Popier, and Geiss and Steinicke.
Details
| Originalsprache | Englisch |
|---|---|
| Seitenumfang | 51 |
| Fachzeitschrift | Journal of theoretical probability |
| Jahrgang | 2020 |
| DOIs | |
| Status | Veröffentlicht - 24 Nov. 2020 |
