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'
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Publication:4584694
Abstract: In [8] we established existence and uniqueness of solutions of backward stochastic differential equations in L^p under a monotonicity condition on the generator and in a general filtration. There was a mistake in the case 1 extless{} p extless{} 2. Here we give a corrected proof. Moreover the quasi-left continuity condition on the filtration is removed.
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Cites work
- scientific article; zbMATH DE number 3776286 (Why is no real title available?)
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
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- Dirichlet forms and semilinear elliptic equations with measure data
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- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- On maximal inequalities for purely discontinuous martingales in infinite dimensions
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- \(L^p\) solutions of backward stochastic differential equations.
Cited in
(18)- Corrigendum to “Stability of solutions of BSDEs with random terminal time”
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
- Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
- Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise
- Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Backward stochastic Volterra integral equations with jumps in a general filtration
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- Continuity problem for singular BSDE with random terminal time
- \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
- \(L^p\)-solution for BSDEs driven by a Lévy process
- Erratum to: ``Simulation of BSDEs with jumps by Wiener chaos expansion.
- Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
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