Lp Solutions of Backward Stochastic Differential Equations with Jumps

Details Lp Solutions of Backward Stochastic Differential Equations with Jumps Lp Solutions of Backward Stochastic Differential Equations with Jumps

2010-07-13

arxiv.org/abs/1007.2226v1

Mathematics

Probability

Keywords: Backward stochastic differential equation with jumps, $L^p$ solution, non-Lipschitz generator

Scientific paper

In this paper, we study a multi-dimensional backward stochastic differential
equation with Poisson jumps (BSDEJ) that has non-Lipschitz generator and
infinity time horizon. For any $p \in (1, \infty)$, we show that the BSDEJ with
a $p$-integrable terminal condition admits a unique solution of $L^p$-type.

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