Existence and uniqueness results for BSDE with jumps: the whole nine yards
From MaRDI portal
Publication:1722017
Abstract: This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the filtration may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, time horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to obtain a wellposedness result for BSDEs driven by discrete--time approximations of general martingales.
Recommendations
Cites work
- scientific article; zbMATH DE number 3644017 (Why is no real title available?)
- scientific article; zbMATH DE number 3865127 (Why is no real title available?)
- scientific article; zbMATH DE number 3606350 (Why is no real title available?)
- scientific article; zbMATH DE number 1257762 (Why is no real title available?)
- scientific article; zbMATH DE number 1341816 (Why is no real title available?)
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 1066318 (Why is no real title available?)
- scientific article; zbMATH DE number 2062295 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
- A class of globally solvable Markovian quadratic BSDE systems and applications
- A financial market with interacting investors: does an equilibrium exist?
- A general comparison theorem for backward stochastic differential equations
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- A note on generalized inverses
- A note on the existence of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition
- A semimartingale BSDE related to the minimal entropy martingale measure
- A semimartingale Bellman equation and the variance-optimal martingale measure
- A simple constructive approach to quadratic BSDEs with or without delay
- A stability approach for solving multidimensional quadratic BSDEs
- A stochastic control approach to a robust utility maximization problem
- A system of quadratic BSDEs arising in a price impact model
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Adapted solution of a backward stochastic differential equation
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- BSDE associated with Lévy processes and application to PDIE
- BSDE on an infinite horizon and elliptic PDEs in infinite dimension
- BSDE with quadratic growth and unbounded terminal value
- BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
- BSDEs with default jump
- BSDEs with jumps, optimization and applications to dynamic risk measures
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- BSDEs with polynomial growth generators
- BSDEs with terminal conditions that have bounded Malliavin derivative
- Backward SDEs with superquadratic growth
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- Backward stochastic differential equation with local time
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with continuous coefficient
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Backward stochastic differential equations with locally Lipschitz coefficient
- Backward stochastic differential equations with stochastic monotone coefficients
- Backward stochastic differential equations: The locally Lipschitz case
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Bounded solutions, \(L^p\) \((p > 1)\) solutions and \(L^1\) solutions for one dimensional BSDEs under general assumptions
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- Calcul stochastique et problèmes de martingales
- Conjugate convex functions in optimal stochastic control
- Contracting theory with competitive interacting agents
- Differentiability of quadratic BSDEs generated by continuous martingales
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Dynamic exponential utility indifference valuation
- Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
- Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
- Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
- Existence for BSDE with superlinear–quadratic coefficient
- Existence, minimality and approximation of solutions to BSDEs with convex drivers
- Existence, uniqueness and comparisons for BSDEs in general spaces
- Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Exponential utility maximization in an incomplete market with defaults
- General existence results for reflected BSDE and BSDE
- Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
- Limit theorems for BSDE with local time applications to non-linear PDE
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- Minimal supersolutions of BSDEs with lower semicontinuous generators
- Minimal supersolutions of convex BSDEs
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Multidimensional BSDE with super-linear growth coefficient: application to degenerate systems of semilinear PDEs
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Multidimensional quadratic BSDEs with separated generators
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On a general result for backward stochastic differential equations
- On solutions of backward stochastic differential equations with jumps and applications
- On the existence or non-existence of solutions for certain backward stochastic differential equations
- On the orthogonal component of BSDEs in a Markovian setting
- On the robustness of backward stochastic differential equations.
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
- On the uniqueness of solutions to quadratic BSDEs with non-convex generators
- One dimensional BSDEs with logarithmic growth application to PDEs
- One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\)
- Optimal investment under relative performance concerns
- Optimal locally absolutely continuous change of measure. finite set of decisions. part i
- Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Progressive enlargement of filtrations and backward stochastic differential equations with jumps
- Quadratic BSDE with \(\mathbb{L}^{2}\)-terminal data: Krylov's estimate, Itô-Krylov's formula and existence results
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Quadratic BSDEs with jumps: a fixed-point approach
- Quadratic BSDEs with jumps: related nonlinear expectations
- Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
- Robust portfolio choice and indifference valuation
- Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
- Second order backward SDE with random terminal time
- Solvability of backward stochastic differential equations with quadratic growth
- Solvability of some quadratic BSDEs without exponential moments
- Some new BSDE results for an infinite-horizon stochastic control problem
- Splitting multidimensional BSDEs and finding local equilibria
- Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- Stochastic calculus and applications
- Stochastic optimal control and BSDEs with logarithmic growth
- The multiplicity of an increasing family of \(\sigma\)-fields
- Utility maximization in a jump market model
- Utility maximization with random horizon: a BSDE approach
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- \(L^p\) solutions of backward stochastic differential equations.
- \(L^p\)-solution for BSDEs with jumps in the case \(p<2\): Corrections to the paper `BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration'
- \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
Cited in
(24)- Representation of solutions to quadratic 2BSDEs with unbounded terminal values
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- Reflections on BSDEs
- Locally Lipschitz BSDE with jumps and related Kolmogorov equation
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
- Stability results for martingale representations: the general case
- Second order backward SDE with random terminal time
- Bank monitoring incentives under moral hazard and adverse selection
- Penalization schemes for BSDEs and reflected BSDEs with generalized driver
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- scientific article; zbMATH DE number 6501133 (Why is no real title available?)
- Backward stochastic Volterra integral equations with jumps in a general filtration
- The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures
- On stochastic control for time changed Lévy dynamics
- Multidimensional BSDE with Poisson jumps in finite time horizon
- A continuous-time model of self-protection
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach
- Scaling limit for stochastic control problems in population dynamics
- Stability of backward stochastic differential equations: the general Lipschitz case
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
This page was built for publication: Existence and uniqueness results for BSDE with jumps: the whole nine yards
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1722017)
