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L-p(p >= 2)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
Journal article   Open access  Peer reviewed

L-p(p >= 2)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

M'hamed Eddahbi, Imade Fakhouri and Youssef Ouknine
MODERN STOCHASTICS-THEORY AND APPLICATIONS, Vol.4(1), pp.25-63
01/02/2017

Abstract

Mathematics Physical Sciences Science & Technology Statistics & Probability
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of L-p(p = 2)-solutions in the case of a fixed terminal time under suitable p-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension 1.
url
https://doi.org/10.15559/17-VMSTA73View
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