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Article Dans Une Revue Electronic Journal of Probability Année : 2018

Existence and uniqueness results for BSDEs with jumps: the whole nine yards

Résumé

This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, which in particular may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to have a wellposedness result for BSDEs driven by discrete approximations of general martingales.

Dates et versions

hal-01481387 , version 1 (02-03-2017)

Identifiants

Citer

Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras. Existence and uniqueness results for BSDEs with jumps: the whole nine yards. Electronic Journal of Probability, 2018, 23 (121), pp.1-68. ⟨10.1214/18-EJP240⟩. ⟨hal-01481387⟩
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