Lp solutions of backward stochastic differential equations with jumps

Song Yao

Stochastic Processes and their Applications, 2017, vol. 127, issue 11, 3465-3511

Abstract: 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)-variables. We show that such a BSDEJ with 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.

Keywords: Backward stochastic differential equations with jumps; Lp solutions; Monotonic generators; Convolution with mollifiers (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:11:p:3465-3511

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DOI: 10.1016/j.spa.2017.03.005

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