Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution

DOI10.1016/J.SPA.2023.04.011zbMATH Open1523.60118arXiv2103.07536OpenAlexW3138689265WikidataQ131317298 ScholiaQ131317298MaRDI QIDQ6157008FDOQ6157008

Tomasz Klimsiak, Maurycy Rzymowski

Publication date: 19 June 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part $M$ of a solution. We assume that the nonlinear term is merely monotone continuous with respect to the state variable. As to the regularity of the driver with respect to the martingale variable, we consider a very general condition which permits path-dependence on "the future" of the process $M$ as well as a dependence of its law (McKean-Vlasov-type equations). For such driver, we prove the existence and uniqueness of a global solution (i.e. for any maturity $T>0$) to BSDE with data satisfying natural integrability conditions.

Full work available at URL: https://arxiv.org/abs/2103.07536

Recommendations

• Existence, uniqueness and comparisons for BSDEs in general spaces
• Backward stochastic dynamics on a filtered probability space
• Backward stochastic differential equations with rough drivers
• BSDEs driven by normal martingale
• The solutions of BSDEs driven by continuous semi-martingales under non-Lipschitz conditions

zbMATH Keywords

global solutionsbackward stochastic differential equationsgeneral filtration

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integral equations (60H20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Anticipated backward stochastic differential equations
• \(L^p\) solutions of backward stochastic differential equations.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Adapted solution of a backward stochastic differential equation
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• Backward stochastic differential equations and integral-partial differential equations
• Title not available (Why is that?)
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Mean-field backward stochastic differential equations and related partial differential equations
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Backward SDEs and Cauchy problem for semilinear equations in divergence form
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Backward stochastic differential equations associated to a symmetric Markov process
• Backward stochastic dynamics on a filtered probability space
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Existence, uniqueness and comparisons for BSDEs in general spaces
• Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations
• On solutions of backward stochastic differential equations with jumps and applications
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• Reflected BSDEs on filtered probability spaces
• BSE's, BSDE's and fixed-point problems
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities

Cited In (2)

• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• Backward stochastic differential equations with Azéma's martingale

This page was built for publication: Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6157008)