TY - JOUR

T1 - L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting

AU - Kremsner, Stefan

AU - Steinicke, Alexander

N1 - Publisher Copyright: © 2020, The Author(s).

PY - 2020/11/24

Y1 - 2020/11/24

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85096500088&partnerID=8YFLogxK

U2 - 10.1007/s10959-020-01056-3

DO - 10.1007/s10959-020-01056-3

M3 - Article

VL - 2020

JO - Journal of theoretical probability

JF - Journal of theoretical probability

SN - 0894-9840

ER -