Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver

DOI10.1080/17442508.2019.1626859MaRDI QIDQ5086488zbMATH OpenOpenAlexWikidataFDO

Authors Christel Geiss, Alexander Steinicke

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.05851, https://europepmc.org/articles/pmc7327528

zbMATH Keywords

BSDEs with jumpsexistence and uniqueness of solutions to BSDEslocally Lipschitz generatorMalliavin differentiability of BSDEsquadratic BSDEs

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a L'evy process. In particular, we are interested in generators which satisfy a locally Lipschitz condition in the $Z$ and $U$ variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for L'evy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value $xi$ and its Malliavin derivative $Dxi$. Furthermore, we extend existence and uniqueness theorems to cases where the generator is not even locally Lipschitz in $U.$ BSDEs of the latter type find use in exponential utility maximization.

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Cited in

(11)

• BSDEs and log-utility maximization for Lévy processes
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Malliavin derivative of random functions and applications to Lévy driven BSDEs
• BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
• Locally Lipschitz BSDE with jumps and related Kolmogorov equation
• Existence,uniqueness and stability of solutions for BSDE driven by Lévy processes under non-Lipschitz condition
• A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
• Comparison theorems for mean-field BSDEs whose generators depend on the law of the solution ( Y, Z )
• Locally Lipschitz path dependent FBSDEs with unbounded terminal conditions in Brownian and Lévy settings
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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