BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

DOI10.1080/17442508.2015.1090990zbMATH Open1337.60123arXiv1412.4622OpenAlexW2162153745MaRDI QIDQ2804558FDOQ2804558

Thomas Kruse, Alexandre Popier

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends several results from the literature. We establish existence and uniqueness of solutions in $L^p$ provided that the generator and the terminal condition satisfy appropriate integrability conditions. The analysis is first carried out under a deterministic time horizon, and then generalized to random time horizons given by a stopping time with respect to the underlying filtration. Moreover, we provide a comparison principle in dimension one.

Full work available at URL: https://arxiv.org/abs/1412.4622

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zbMATH Keywords

jumpsBrownian motionbackward stochastic differential equationsPoisson random measuregeneral filtration

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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