扩展单调发电机设置中具有lsamvy跳变的BSDEs的存在唯一性及比较结果。

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2018-01-01 Epub Date: 2018-12-28 DOI:10.1186/s41546-018-0034-y

Christel Geiss, Alexander Steinicke

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引用次数: 9

摘要

我们展示了在Royer (Stoch)中建立跳跃的后向SDE的比较结果。的过程。中国科学:地球科学，2006)。分析的苹果346:345-358,2008)持有更简化的条件。此外，我们还证明了允许发生器线性增长和单调条件下的系数随机且随时间变化的存在唯一性。在线性增长的l2情况下，这也概括了Kruse和Popier的结果(《随机统计学》88:491-539,2016)。为了证明比较结果，我们引入了一种近似技术:给定一个由布朗运动和泊松随机测度驱动的BSDE，我们用泊松随机测度只允许大于1/n的跳变的BSDE来近似它。

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Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting.

We show that the comparison results for a backward SDE with jumps established in Royer (Stoch. Process. Appl 116: 1358-1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346: 345-358, 2008) hold under more simplified conditions. Moreover, we prove existence and uniqueness allowing the coefficients in the linear growth- and monotonicity-condition for the generator to be random and time-dependent. In the L ²-case with linear growth, this also generalizes the results of Kruse and Popier (Stochastics 88: 491-539, 2016). For the proof of the comparison result, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we approximate it by BSDEs where the Poisson random measure admits only jumps of size larger than 1/n.

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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

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.