Academic Journal
Existence and uniqueness results for BSDE with jumps: the whole nine yards
| العنوان: | Existence and uniqueness results for BSDE with jumps: the whole nine yards |
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| المؤلفون: | Papapantoleon, Antonis, Possamaï, Dylan, Saplaouras, Alexandros |
| بيانات النشر: | The Institute of Mathematical Statistics and the Bernoulli Society |
| سنة النشر: | 2018 |
| المجموعة: | Project Euclid (Cornell University Library) |
| مصطلحات موضوعية: | BSDEs, processes with jumps, stochastically discontinuous martingales, random time horizon, stochastic Lipschitz generator, 60G48, 60G55, 60G57, 60H05 |
| الوصف: | 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. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| ردمك: | 978-1-5451-0213-8 1-5451-0213-9 |
| تدمد: | 1083-6489 |
| Relation: | https://projecteuclid.org/euclid.ejp/1545102139; Electron. J. Probab. |
| DOI: | 10.1214/18-EJP240 |
| الاتاحة: | https://projecteuclid.org/euclid.ejp/1545102139 https://doi.org/10.1214/18-EJP240 |
| Rights: | Copyright 2018 The Institute of Mathematical Statistics and the Bernoulli Society |
| رقم الانضمام: | edsbas.26A66A08 |
| قاعدة البيانات: | BASE |
Full Text Finder | ردمك: | 9781545102138 1545102139 |
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| تدمد: | 10836489 |
| DOI: | 10.1214/18-EJP240 |