Open AccessExistence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
Author(s) -
Tianyang Nie,
Marek Rutkowski
Publication year - 2021
Publication title -
probability, uncertainty and quantitative risk
Language(s) - English
Resource type - Journals
eISSN - 2095-9672
pISSN - 2367-0126
DOI - 10.3934/puqr.2021016
Subject(s) - mathematics , uniqueness , martingale (probability theory) , pure mathematics , mathematical analysis
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 [ 27 , 28 ] and Dumitrescu et al. [ 7 ] who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.