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Lp solutions of backward stochastic differential equations with jumps

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  • Yao, Song

Abstract

Given p∈(1,2), we study Lp solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in (y,z)-variables. We show that such a BSDEJ with p-integrable terminal data admits a unique Lp solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result.

Suggested Citation

  • Yao, Song, 2017. "Lp solutions of backward stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3465-3511.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511
    DOI: 10.1016/j.spa.2017.03.005
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    References listed on IDEAS

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    Cited by:

    1. Stefan Kremsner & Alexander Steinicke, 2022. "$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting," Journal of Theoretical Probability, Springer, vol. 35(1), pages 231-281, March.
    2. Xiaomin Shi & Zuo Quan Xu, 2024. "Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients," Papers 2406.10465, arXiv.org.
    3. Safa Alsheyab & Tahir Choulli, 2021. "Reflected backward stochastic differential equations under stopping with an arbitrary random time," Papers 2107.11896, arXiv.org.

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