$\boldsymbol{\mathbb{L}^p(p\ge2)}$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

M'hamed Eddahbi; Imade Fakhouri; Youssef Ouknine

doi:10.15559/17-vmsta73

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arXiv · 1704.02132

$\boldsymbol{\mathbb{L}^p(p\ge2)}$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

M'hamed Eddahbi·Imade Fakhouri·Youssef Ouknine

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Abstract

In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of $\mathbb{L}^p(p\ge2)$-solutions in the case of a fixed terminal time under suitable $p$-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension $1$.

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BibTeX RIS

M'hamed Eddahbi, Imade Fakhouri, Youssef Ouknine. 2017-04-07. $\boldsymbol{\mathbb{L}^p(p\ge2)}$-solutions of generalized BSDEs with jumps and monotone generator in a general filtration. https://doi.org/10.15559/17-vmsta73

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