Existence and uniqueness results for BSDE with jumps: the whole nine yards
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Publication:1722017
DOI10.1214/18-EJP240zbMATH Open1406.60064arXiv1607.04214OpenAlexW2964168739MaRDI QIDQ1722017FDOQ1722017
Antonis Papapantoleon, Alexandros Saplaouras, Dylan Possamaï
Publication date: 14 February 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1607.04214
Recommendations
bsdesprocesses with jumpsrandom time horizonstochastic Lipschitz generatorstochastically discontinuous martingales
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Generalizations of martingales (60G48) Random measures (60G57) Stochastic integrals (60H05)
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