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

Journal Article

Eddahbi, M. . 2017

• نوع عمل المنشور: Research paper
• رابط المنشور على الويب: Modern Stochastics: Theory and Applications
• رقم العدد: 1
• رقم الإصدار السنوي: 4
• الصفحات: 25 to 63

مستخلص المنشور

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.