$L^p$-Solutions and Comparison Results for L\'evy Driven BSDEs in a Monotonic, General Growth Setting

Stefan Kremsner; Alexander Steinicke

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arXiv · 1909.06181

$L^p$-Solutions and Comparison Results for L\'evy Driven BSDEs in a Monotonic, General Growth Setting

Stefan Kremsner·Alexander Steinicke

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Abstract

We present a unified approach to $L^p$-solutions ($p > 1$) of multidimensional backward stochastic differential equations (BSDEs) driven by L\'evy processes and more general filtrations. New existence, uniqueness and comparison results are obtained. The generator functions obey a time-dependent extended monotonicity (Osgood) condition in the $y$-variable and have general growth in $y$. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008), Yao (2017), Kruse and Popier (2016/2017) and Geiss and Steinicke (2018).

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Stefan Kremsner, Alexander Steinicke. 2019-09-13. $L^p$-Solutions and Comparison Results for L\'evy Driven BSDEs in a Monotonic, General Growth Setting. https://arxiv.org/abs/1909.06181

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