Existence, uniqueness and comparisons for BSDEs in general spaces
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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.
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Cited in
(47)- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
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- A general comparison theorem for backward stochastic differential equations
- Singular recursive utility
- Reflections on BSDEs
- Anticipated BSDEs driven by a single jump process
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Mean-field backward stochastic differential equations in general probability spaces
- Nonlinear reserving in life insurance: aggregation and mean-field approximation
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Backward stochastic difference equations with finite states
- Representation of solutions to 2BSDEs in an extended monotonicity setting
- Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
- Optimal control and zero-sum games for Markov chains of mean-field type
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
- Mean-field risk sensitive control and zero-sum games for Markov chains
- Nonlinear reserving and multiple contract modifications in life insurance
- Some results on general quadratic reflected BSDEs driven by a continuous martingale
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- Anticipated backward stochastic differential equations on Markov chains
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- Well-posedness of backward stochastic differential equations with general filtration
- Special weak Dirichlet processes and BSDEs driven by a random measure
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- Stability of the Epstein-Zin problem
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
- A framework of BSDEs with stochastic Lipschitz coefficients
- Uniqueness of solution to scalar BSDEs with \(L\exp\left(\mu_0\sqrt{2\log(1+L)}\right)\)-integrable terminal values: an \(L^1\)-solution approach
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- Backward stochastic differential equations with regime-switching and sublinear expectations
- Optimal control for stochastic Volterra equations with multiplicative Lévy noise
- A general comparison theorem for reflected BSDEs
- Undiscounted Markov chain BSDEs to stopping times
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
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