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Existence and uniqueness results for BSDEs with jumps: the whole nine yards

Listed author(s):
  • Antonis Papapantoleon
  • Dylan Possama\"i
  • Alexandros Saplaouras
Registered author(s):

    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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    File URL: http://arxiv.org/pdf/1607.04214
    File Function: Latest version
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    Paper provided by arXiv.org in its series Papers with number 1607.04214.

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    Date of creation: Jul 2016
    Date of revision: Apr 2017
    Handle: RePEc:arx:papers:1607.04214
    Contact details of provider: Web page: http://arxiv.org/

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