Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales | Zendy

Tianyang Nie | Zendy; Marek Rutkowski | Zendy

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Existence, 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.

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