L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting
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- Institut für Mathematik und Wissenschaftliches Rechnen, Karl-Franzens-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
| Original language | English |
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| Number of pages | 51 |
| Journal | Journal of theoretical probability |
| Volume | 2020 |
| DOIs | |
| Publication status | Published - 24 Nov 2020 |
