带跳跃的倒向随机微分方程的Lp解

OPER: Analytical (Topic) Pub Date : 2010-07-13 DOI:10.2139/ssrn.2806567

Song Yao

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引用次数: 21

摘要

摘要给定p∈(1,2)，研究了一类具有跳跃的多维后向随机微分方程(BSDEJ)的L p解，该方程的生成器在(y, z) -变量中可能不是Lipschitz连续的。我们通过与mollifiers的卷积，用一系列Lipschitz生成器逼近单调发生器，并使用稳定性结果证明了具有p可积末端数据的BSDEJ具有唯一的L p解。

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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Lp Solutions of Backward Stochastic Differential Equations with Jumps

Abstract Given p ∈ ( 1 , 2 ) , we study L p solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in ( y , z ) -variables. We show that such a BSDEJ with p -integrable terminal data admits a unique L p solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result.

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OPER: Analytical (Topic)

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