L^p-Solutions and Comparison Results for L\'evy Driven BSDEs in a Monotonic, General Growth Setting

DOI10.1007/S10959-020-01056-3arXiv1909.06181WikidataQ115382030 ScholiaQ115382030MaRDI QIDQ6325236FDOQ6325236

Alexander Steinicke, Stefan Kremsner

Publication date: 13 September 2019

Abstract: We present a unified approach to $L^p$-solutions ($p>1$) of multidimensional backward stochastic differential equations (BSDEs) driven by L'evy processes and more general filtrations. New existence, uniqueness and comparison results are obtained. The generator functions obey a time-dependent extended monotonicity (Osgood) condition in the $y$-variable and have general growth in $y$. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008), Yao (2017), Kruse and Popier (2016/2017) and Geiss and Steinicke (2018).

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

This page was built for publication: $L^p$-Solutions and Comparison Results for L\'evy Driven BSDEs in a Monotonic, General Growth Setting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6325236)