[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
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author Kremsner, Stefan
Steinicke, Alexander
author_facet Kremsner, Stefan
Steinicke, Alexander
author_sort Kremsner, Stefan
collection PubMed
description 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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spelling pubmed-88312832022-02-23 [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting Kremsner, Stefan Steinicke, Alexander J Theor Probab Article 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. Springer US 2020-11-24 2022 /pmc/articles/PMC8831283/ /pubmed/35221486 http://dx.doi.org/10.1007/s10959-020-01056-3 Text en © The Author(s) 2020 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Kremsner, Stefan
Steinicke, Alexander
[Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title_full [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title_fullStr [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title_full_unstemmed [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title_short [Formula: see text] -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
title_sort [formula: see text] -solutions and comparison results for lévy-driven backward stochastic differential equations in a monotonic, general growth setting
topic Article
url 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
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