On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples

DOI10.1007/978-3-030-22285-7_1zbMath1498.60197arXiv1607.06644OpenAlexW2481244423MaRDI QIDQ5038289

Klebert Kentia, Martin Büttner, Dirk Becherer

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06644

zbMATH Keywords

Lévy processesbackward stochastic differential equationsutility maximizationrandom measuresentropic risk measuremonotone stabilitystep processesgood deal valuation bounds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Jump processes on discrete state spaces (60J74)

Related Items (6)

Locally Lipschitz BSDE with jumps and related Kolmogorov equation ⋮ Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver ⋮ \( \mathbb{L}^2\)-solutions of multidimensional generalized BSDEs with weak monotonicity and general growth generators in a general filtration ⋮ Ong−evaluations with domains under jump filtration ⋮ Unnamed Item ⋮ Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

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