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BIBTEX RIS

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

2018; Institute of Mathematical Statistics; Volume: 23; Issue: none Linguagem: Inglês

10.1214/18-ejp240

ISSN

1083-6489

Autores

Antonis Papapantoleon, Dylan Possamaï, Alexandros Saplaouras,

Tópico(s)

Insurance, Mortality, Demography, Risk Management

Resumo

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, i.e. the filtration may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, time horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to obtain a wellposedness result for BSDEs driven by discrete--time approximations of general martingales.

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