L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting
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In: Journal of theoretical probability , Vol. 2020, 24.11.2020.
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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 -
