Lp Solutions of Backward Stochastic Differential Equations with Jumps

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, u). We show that such a BSDEJ with a 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

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Year of publication:	2016
Authors:	Yao, Song
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Optionspreistheorie \| Option pricing theory \| Hedging

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Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2016 erstellt
Other identifiers:	10.2139/ssrn.2806567 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012987272

L<sup>p</sup> Solutions of Backward Stochastic Differential Equations with Jumps