RCLL鞅驱动的BSDEs的存在唯一性及严格比较定理

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2021-01-01 DOI:10.3934/puqr.2021016

Tianyang Nie, M. Rutkowski

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引用次数: 1

摘要

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。

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

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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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.