Existence and uniqueness results for BSDEs with jumps: the whole nine yards
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros (2016), Existence and uniqueness results for BSDEs with jumps: the whole nine yards. https://basepub.dauphine.fr/handle/123456789/17531
TypeDocument de travail / Working paper
External document linkhttps://arxiv.org/abs/1607.04214
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, which in particular may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to have a wellposedness result for BSDEs driven by discrete approximations of general martingales.
Subjects / KeywordsBSDEs; processes with jumps; stochastically discontinuous martingales; random time horizon; stochastic Lipschitz generator
Showing items related by title and author.
Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs Kazi-Tani, Mohamed Nabil; Possamaï, Dylan; Zhou, Chao (2015) Article accepté pour publication ou publié
Corrigendum for Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty" Matoussi, Anis; Possamaï, Dylan; Zhou, Chao (2017) Document de travail / Working paper