L^p-Solutions and Comparison Results for Lévy Driven BSDEs in a Monotonic, General Growth Setting

Stefan Kremsner, Alexander Steinicke

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We present a unified approach to L p-solutions (p> 1) of multidimensional backward stochastic differential equations (BSDEs) driven by Lévy processes and more general filtrations. New existence, uniqueness and comparison results are obtained. The generator functions obey a time-dependent extended monotonicity (Osgood) condition in the y-variable and have general growth in y. Within this setting, the results generalize those of Royer, Yin and Mao, Yao, Kruse and Popier, and Geiss and Steinicke.

Original languageEnglish
Number of pages51
JournalJournal of theoretical probability
Publication statusPublished - 24 Nov 2020

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