논문KCI 등재
$\mathbb{D}$-solutions of BSDEs with Poisson jumps
대한수학회 (The Korean Mathematical Society)|2022.11|대한수학회지 (Journal of the KMS)|제59권 제6호|pp. 1083-1101|DOI 10.4134/JKMS.j210626
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
주제분류수학
초록
In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just integrability on the data we show that such equations admit a unique solution which belongs to class $\mathbb{D}$.
Abstract
In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just integrability on the data we show that such equations admit a unique solution which belongs to class $\mathbb{D}$.
참고문헌 (10)
- Ph. Briand, "Lp solutions of backward stochastic differential equations", Stochastic Process. Appl, 108(1), pp.109~129 (2003)[DOI]
- C. Dellacherie, "Probabilités et potentiel V-VIII" (1980), Hermann
- T. Kruse, "BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration", Stochastics, 88(4), pp.491~539 (2016)[DOI]
- E. Pardoux, "Backward stochastic differential equations", pp.207~219 (1997), Longman
- E. Pardoux, "Adapted solution of a backward stochastic differential equa-tion", Systems Control Lett, 14(1), pp.55~61 (1990)[DOI]
- P. E. Protter, "Stochastic Integration and Differential Equations" (2004), Springer-Verlag
- M.-C. Quenez, "BSDEs with jumps, optimization and applications to dy-namic risk measures", Stochastic Process. Appl, 123(8), pp.3328~3357 (2013)[DOI]
- S. Rong, "On solutions of backward stochastic differential equations with jumps and applications", Stochastic Process, 66(2), pp.209~236 (1997)[DOI]
- S. J. Tang, "Necessary conditions for optimal control of stochastic systems with random jumps", SIAM J. Control Optim, 32(5), pp.1447~1475 (1994)[DOI]
- "Lp solutions of backward stochastic differential equations with jumps"[URL]
관련 논문AI추천
BSDEs on finite and infinite time horizon with discontinuous coefficientsPengju Duan, Yong Ren대한수학회 · 대한수학회보2013 · 제50권 제4호$L^p$-solutions for reflected BSDEs with time delayed generatorsQing Zhou대한수학회 · 대한수학회보2016 · 제53권 제3호$L^p$ solutions for general time interval multidimensional BSDEs with weak monotonicity and general growth generatorsShengjun Fan, Yongpeng Dong대한수학회 · 대한수학회논문집2018 · 제33권 제3호Lp (p ≥ 1) SOLUTIONS OF MULTIDIMENSIONAL BSDES WITH TIME-VARYING QUASI-HOLDER CONTINUITY GENERATORS IN GENERAL TIME INTERVALSFAN Sheng-Jun, Xiao Lishun대한수학회 · 대한수학회논문집2020 · 제35권 제2호MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINSWen Lu, Yong Ren대한수학회 · 대한수학회보2017 · 제54권 제1호Minimal and maximal bounded solutions for quadratic BSDEs with stochastic conditionsHuanhuan Luo, Shengjun Fan대한수학회 · 대한수학회보2017 · 제54권 제6호
이 간행물의 다른 논문 (9건)
On Pairwise Gaussian bases and LLL algorithm for three dimensional lattices임선간, Jeongeun Park, 이향숙, 김기태, 이익권pp. 1047-1065A new optimal eighth-order family of multiple root findersDejan Cebic, Nebojsa M. Ralevicpp. 1067-1082The Difference of Hyperharmonic Numbers via Geometric and Analytic MethodsDoga Can Sertbas, Cagatay Altuntas, Haydar Goralpp. 1103-1137Dirichlet eigenvalue problems under Musielak-Orlicz growthAllami Benyaiche, Ismail Khlifipp. 1139-1151Robust portfolio optimization under hybrid CEV and stochastic volatilityBeidi Peng, Wenjun Zhang, Jiling Caopp. 1153-1170