L^p (p 2)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

DOI10.15559/17-VMSTA73MaRDI QIDQ522550zbMATH OpenOpenAlexFDO

Authors M'hamed Eddahbi, Imade Fakhouri, Youssef Ouknine

Publication date 18 April 2017

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.02132

zbMATH Keywords

\(\mathbb{L}^p\)-solutionscomparison theoremgeneralized backward stochastic differential equationsjumpsmonotone generator

Mathematics Subject Classification ID

(L^p)-limit theorems (60F25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Abstract: In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of $mathbb{L}^p(pge2)$-solutions in the case of a fixed terminal time under suitable $p$-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension $1$.

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Cited in

(16)

• \(L^p\) solution of backward stochastic differential equations driven by a marked point process
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• \(L^p\)-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'
• On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
• \(\mathbb{D}\)-solutions of BSDEs with Poisson jumps
• Lp solutions of BSDEs with weakly monotonic and uniformly continuous generators
• Generalized backward stochastic differential equations with jumps in a general filtration
• \( \mathbb{L}^2\)-solutions of multidimensional generalized BSDEs with weak monotonicity and general growth generators in a general filtration
• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
• Generalized BSDE and reflected BSDE with random time horizon
• Penalization schemes for BSDEs and reflected BSDEs with generalized driver
• \(\mathbb{L}^p\)-solution of generalized BSDEs in a general filtration with stochastic monotone coefficients
• Multidimensional BSDE with Poisson jumps in finite time horizon
• Multidimensional generalized discontinuous BSDEs with weak monotonicity and general growth coefficients

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