L^p solutions of backward stochastic differential equations with jumps

DOI10.1016/J.SPA.2017.03.005MaRDI QIDQ2408993zbMATH OpenOpenAlexFDO

Authors Song Yao

Publication date 10 October 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.2226

zbMATH Keywords

backward stochastic differential equations with jumps\(\mathbb{L}^p\) solutionsmonotonic generatorsconvolution with mollifiers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Given $pin(1,2)$, we study $L^p$-solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in $(y,z)-$variables. We show that such a BSDEJ with a p-integrable terminal data admits a unique $L^p$ solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result.

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Cited in

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