{{\varvec{L}}}^{{\varvec{p}}}$$-Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
Abstract We present a unified approach to $$L^p$$ L p -solutions ( $$p > 1$$ p > 1 ) of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy processes and more general filtrations. New existence, uniqueness and comparison results are obtained. The generator functi...
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| Published in | Journal of theoretical probability Vol. 35; no. 1; pp. 231 - 281 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
01.03.2022
|
| Online Access | Get full text |
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| Summary: | Abstract
We present a unified approach to
$$L^p$$
L
p
-solutions (
$$p > 1$$
p
>
1
) of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy 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, Yin and Mao, Yao, Kruse and Popier, and Geiss and Steinicke. |
|---|---|
| ISSN: | 0894-9840 1572-9230 |
| DOI: | 10.1007/s10959-020-01056-3 |