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$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
Journal of Theoretical Probability ( IF 0.8 ) Pub Date : 2020-11-24 , DOI: 10.1007/s10959-020-01056-3
Stefan Kremsner 1 , Alexander Steinicke 2
Affiliation  

We present a unified approach to \(L^p\)-solutions (\(p > 1\)) 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.



中文翻译:

$${{\varvec{L}}}^{{\varvec{p}}}$$ L p -Lévy 驱动的后向随机微分方程在单调、一般增长环境中的解和比较结果

我们提出了一种统一的方法来解决由 Lévy 过程和更一般的过滤驱动的多维反向随机微分方程 ( BSDE) 的\(L^p\) - 解 ( \(p > 1\) )。得到新的存在性、唯一性和比较结果。生成器函数在y变量中服从与时间相关的扩展单调性 (Osgood) 条件,并且在y中具有一般增长。在这种情况下,结果概括了 Royer、Yin 和 Mao、Yao、Kruse 和 Popier 以及 Geiss 和 Steinicke 的结果。

更新日期:2020-11-24
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