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

DOI10.1016/J.SPA.2023.04.011MaRDI QIDQ6157008zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz Klimsiak, Maurycy Rzymowski

Publication date 19 June 2023

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

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

zbMATH Keywords

global solutionsbackward stochastic differential equationsgeneral filtration

Mathematics Subject Classification ID

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

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.

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Cited in

(2)

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

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