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Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
Probability, Uncertainty and Quantitative Risk Pub Date : 2021-01-01 , DOI: 10.3934/puqr.2021016 Tianyang Nie , Marek Rutkowski
Probability, Uncertainty and Quantitative Risk Pub Date : 2021-01-01 , DOI: 10.3934/puqr.2021016 Tianyang Nie , Marek Rutkowski
<p style='text-indent:20px;'>The existence, uniqueness, and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are developed. The goal is to develop a general multi-asset framework encompassing a wide spectrum of non-linear financial models with jumps, including as particular cases, the setups studied by Peng and Xu [<xref ref-type="bibr" rid="b27">27</xref>, <xref ref-type="bibr" rid="b28">28</xref>] and Dumitrescu et al. [<xref ref-type="bibr" rid="b7">7</xref>] who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.</p>
中文翻译:
RCLL鞅驱动的BSDE的存在性、唯一性和严格比较定理
<p style='text-indent:20px;'>开发了多维RCLL鞅驱动的BSDE解的存在性、唯一性和严格比较。目标是开发一个通用的多资产框架,包括广泛的具有跳跃的非线性金融模型,包括作为特定案例,Peng 和 Xu 研究的设置 [<xref ref-type="bibr" rid="b27 ">27</xref>、<xref ref-type="bibr" rid="b28">28</xref>] 和 Dumitrescu 等人。[<xref ref-type="bibr" rid="b7">7</xref>] 处理由一维布朗运动驱动的 BSDE 和单次跳跃的纯不连续鞅。</p>
更新日期:2021-01-01
中文翻译:
RCLL鞅驱动的BSDE的存在性、唯一性和严格比较定理
<p style='text-indent:20px;'>开发了多维RCLL鞅驱动的BSDE解的存在性、唯一性和严格比较。目标是开发一个通用的多资产框架,包括广泛的具有跳跃的非线性金融模型,包括作为特定案例,Peng 和 Xu 研究的设置 [<xref ref-type="bibr" rid="b27 ">27</xref>、<xref ref-type="bibr" rid="b28">28</xref>] 和 Dumitrescu 等人。[<xref ref-type="bibr" rid="b7">7</xref>] 处理由一维布朗运动驱动的 BSDE 和单次跳跃的纯不连续鞅。</p>