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2018 Existence and uniqueness results for BSDE with jumps: the whole nine yards
Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras
Electron. J. Probab. 23: 1-68 (2018). DOI: 10.1214/18-EJP240

Abstract

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, i.e. the filtration may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, time horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to obtain a wellposedness result for BSDEs driven by discrete–time approximations of general martingales.

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Antonis Papapantoleon. Dylan Possamaï. Alexandros Saplaouras. "Existence and uniqueness results for BSDE with jumps: the whole nine yards." Electron. J. Probab. 23 1 - 68, 2018. https://doi.org/10.1214/18-EJP240

Information

Received: 12 July 2016; Accepted: 29 October 2018; Published: 2018
First available in Project Euclid: 18 December 2018

zbMATH: 07021677
MathSciNet: MR3896858
Digital Object Identifier: 10.1214/18-EJP240

Subjects:
Primary: 60G48, 60G55, 60G57, 60H05

JOURNAL ARTICLE
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