[Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting

We present a unified approach to [Formula: see text] -solutions ([Formula: see text] ) 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...

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Detalles Bibliográficos
Autores principales: Kremsner, Stefan, Steinicke, Alexander
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8831283/
https://www.ncbi.nlm.nih.gov/pubmed/35221486
http://dx.doi.org/10.1007/s10959-020-01056-3
Descripción
Sumario:We present a unified approach to [Formula: see text] -solutions ([Formula: see text] ) 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.

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