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

DOI10.15559/17-VMSTA73zbMATH Open1361.60041arXiv1704.02132OpenAlexW2587148210MaRDI QIDQ522550FDOQ522550

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)

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 $1$.

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

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zbMATH Keywords

jumpscomparison theoremgeneralized backward stochastic differential equations\(\mathbb{L}^p\)-solutionsmonotone generator

Mathematics Subject Classification ID

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

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Cited In (14)

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

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