$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting

Stefan Kremsner () and Alexander Steinicke ()
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Stefan Kremsner: University of Graz
Alexander Steinicke: Montanuniversitaet Leoben

Journal of Theoretical Probability, 2022, vol. 35, issue 1, 231-281

Abstract: Abstract We present a unified approach to $$L^p$$ L p -solutions ( $$p > 1$$ p > 1 ) of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy 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, Yin and Mao, Yao, Kruse and Popier, and Geiss and Steinicke.

Keywords: Backward stochastic differential equation; Lévy process; $$L^p$$ L p -solutions; Predictable version; 60H10 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10959-020-01056-3

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