BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

T. Kruse; A. Popier

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arXiv · 1412.4622

BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

T. Kruse·A. Popier

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Abstract

We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends several results from the literature. We establish existence and uniqueness of solutions in $L^p$ provided that the generator and the terminal condition satisfy appropriate integrability conditions. The analysis is first carried out under a deterministic time horizon, and then generalized to random time horizons given by a stopping time with respect to the underlying filtration. Moreover, we provide a comparison principle in dimension one.

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BibTeX RIS

T. Kruse, A. Popier. 2014-12-15. BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. https://arxiv.org/abs/1412.4622

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