Lp solutions of backward stochastic differential equations with jumps |
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Authors: | Song Yao |
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Affiliation: | Department of Mathematics, University of Pittsburgh, Pittsburgh, PA 15260, United States |
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Abstract: | Given , we study solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in -variables. We show that such a BSDEJ with -integrable terminal data admits a unique solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result. |
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Keywords: | Backward stochastic differential equations with jumps Monotonic generators Convolution with mollifiers |
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