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'
DOI10.1080/17442508.2017.1290095zbMATH Open1394.60064arXiv1701.09071OpenAlexW2963492589MaRDI QIDQ4584694FDOQ4584694
Authors: Thomas Kruse, Alexandre Popier 
Publication date: 4 September 2018
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.09071
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Dirichlet forms and semilinear elliptic equations with measure data
- \(L^p\) solutions of backward stochastic differential equations.
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Title not available (Why is that?)
- Calcul stochastique et problèmes de martingales
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Reflected BSDEs on filtered probability spaces
- On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions
- Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
- Limit behaviour of BSDE with jumps and with singular terminal condition
Cited In (17)
- \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Backward stochastic Volterra integral equations with jumps in a general filtration
- Ong−evaluations with domains under jump filtration
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- \(L^p\)-solution for BSDEs driven by a Lévy process
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- Continuity problem for singular BSDE with random terminal time
- Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
- On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
- Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
- Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
- Corrigendum to “Stability of solutions of BSDEs with random terminal time”
- Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
- \(\mathbb{L}^p\) \((p\geq 2)\)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
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