Lp-solution for BSDEs with jumps in the casep<2

DOI10.1080/17442508.2017.1290095zbMath1394.60064arXiv1701.09071OpenAlexW2963492589MaRDI QIDQ4584694

Alexandre Popier, Thomas Kruse

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.09071

zbMATH Keywords

backward SDEgeneral filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (15)

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting ⋮ Equilibrium strategies for time-inconsistent stochastic switching systems ⋮ \(L^p\)-solution for BSDEs driven by a Lévy process ⋮ Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise ⋮ Ong−evaluations with domains under jump filtration ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives ⋮ Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration ⋮ Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting

Cites Work

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• Reflected BSDEs on filtered probability spaces
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• Dirichlet forms and semilinear elliptic equations with measure data
• \(L^p\) solutions of backward stochastic differential equations.
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Limit behaviour of BSDE with jumps and with singular terminal condition
• On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions

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