BSDEs driven by time-changed Lévy noises with non-Lipschitz generators

Xiaohui Shen and Long Jiang

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 3, 523-536

Abstract: This paper deals with a class of backward stochastic differential equations (BSDEs for short) driven by time-changed Lévy noises. The existence and uniqueness of Lp(p ⩾ 2) solutions for this kind of BSDEs with non-Lipschitz generators are obtained, which extend the corresponding results of Di Nunno and Sjursen (2014) [Stochastic Process. Appl. 124(4):1679-1709]. Furthermore, representation theorem for generators as well as converse comparison theorem for this kind of BSDEs are also studied.

Date: 2019
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DOI: 10.1080/03610926.2017.1414263

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