Existence, uniqueness and comparisons for BSDEs in general spaces

DOI10.1214/11-AOP679zbMATH Open1260.60128arXiv1001.0439MaRDI QIDQ690880FDOQ690880

Robert J. Elliott, Samuel N. Cohen

Publication date: 29 November 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic variations of martingales or of the measure integrating the driver. We present conditions for existence and uniqueness of square-integrable solutions, using Lipschitz continuity of the driver. These conditions unite the requirements for existence in continuous and discrete time and allow discrete processes to be embedded with continuous ones. We also present conditions for a comparison theorem and hence construct time consistent nonlinear expectations in these general spaces.

Full work available at URL: https://arxiv.org/abs/1001.0439

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zbMATH Keywords

evaluationcomparison theoremGronwall inequalitynonlinear expectationBSDEgeneral filtrationseparable probability space

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cited In (39)

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• Optimal control and zero-sum games for Markov chains of mean-field type
• Ong−evaluations with domains under jump filtration
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Mean reflected BSDE driven by a marked point process and application in insurance risk management
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
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• A stochastic maximum principle for Markov chains of mean-field type
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
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• Undiscounted Markov Chain BSDEs to Stopping Times
• Special weak Dirichlet processes and BSDEs driven by a random measure
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
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• Nonlinear reserving and multiple contract modifications in life insurance
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains
• A framework of BSDEs with stochastic Lipschitz coefficients
• Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Singular recursive utility
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• Discrete-Time BSDEs with Random Terminal Horizon
• A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management

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