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$L^p$ (p ≥ 2)-solutions of generalized BSDEs with jumps and monotone generator in a general filtration

Journal Article
Eddahbi, M. . 2017
Publication Work Type: 
Research paper
Publication Online URL: 
Modern Stochastics: Theory and Applications
Issue Number: 
1
Volume Number: 
4
Pages: 
25 to 63
Publication Abstract: 

In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of $L^p$ (p ≥ 2)-solutions in the case of a fixed terminal time under suitable p-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension 1.