Preprints, Working Papers, ... Year : 2024

Second order BSDEs with jumps by measurable selection argument

Laurent Denis
Chao Zhou
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  • PersonId : 1117203

Abstract

We prove existence and uniqueness for solution of second order BSDEs with jumps (2BS-DEJs). More precisely, our problem of interest consists in the optimization, over a set of possibly non-dominated probability measures, of solutions of backward stochastic differential equations with jumps (BSDEJs). After proving a dynamic programming principle for this control problem in an abstract setting, we obtain a wellposedness result for second order BSDEJs (as introduced in Kazi-Tani, Possamaï, and Zhou [10]) which does not require any regularity assumption on the terminal condition and the generator.
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Dates and versions

hal-04822047 , version 1 (05-12-2024)

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  • HAL Id : hal-04822047 , version 1

Cite

Laurent Denis, Anis Matoussi, Chao Zhou. Second order BSDEs with jumps by measurable selection argument. 2024. ⟨hal-04822047⟩
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