D-solutions of BSDEs with Poisson jumps

DOI10.4134/JKMS.J210626MaRDI QIDQ5053994zbMATH OpenFDO

Authors Imen Hassairi

Publication date 29 November 2022

Full work available at URL https://arxiv.org/abs/1711.08167

zbMATH Keywords

\(\mathbb{L}^p\)-solutionbackward SDEsLipschitz generatorPoisson point process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just integrability on the data we show that such equations admits a unique solution which belongs to class D.

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Cites work

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Cited in

(11)

• BSDEs with logarithmic growth driven by Brownian motion and Poisson random measure and connection to stochastic control problem
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Adapted solution to BSDEs with Poisson jumps under non-growth conditions
• scientific article; zbMATH DE number 1471896 (Why is no real title available?)
• \(L^p\)-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'
• Progressive enlargement of filtrations and backward stochastic differential equations with jumps
• Locally Lipschitz BSDE with jumps and related Kolmogorov equation
• Multidimensional BSDE with Poisson jumps in finite time horizon
• Second-order BSDEs with jumps: formulation and uniqueness
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

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