Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-01-01 DOI:10.3934/puqr.2021016

Tianyang Nie, M. Rutkowski

引用次数: 1

Abstract

The existence, uniqueness, and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are developed. The goal is to develop a general multi-asset framework encompassing a wide spectrum of non-linear financial models with jumps, including as particular cases, the setups studied by Peng and Xu [27, 28] and Dumitrescu et al. [7] who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.

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RCLL鞅驱动的BSDEs的存在唯一性及严格比较定理

给出了由多维RCLL鞅驱动的BSDE解的存在性、唯一性和严格比较性。目标是开发一个通用的多资产框架，包括广泛的具有跳跃的非线性金融模型，包括彭和徐[27,28]和Dumitrescu等人[7]研究的设置，他们处理由一维布朗运动和具有单跳的纯不连续鞅驱动的BSDEs。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

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