$${{\varvec{L}}}^{{\varvec{p}}}$$-Solutions and Comparison Results for Lévy-Driven Backward Stochastic Differential Equations in a Monotonic, General Growth Setting
Keyword(s):
AbstractWe 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.
2004 ◽
Vol 76
(2)
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pp. 147-177
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2014 ◽
Vol 22
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2016 ◽
Vol 17
(05)
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pp. 1750033
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2013 ◽
Vol 14
(01)
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pp. 1350007
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2019 ◽
Vol 37
(6)
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pp. 1028-1041
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