Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients
Copyright policy )Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients
A solution is given to generalized backward stochastic differential equations driven by a real-valued RCLL martingale on an arbitrary filtered probability space. The existence and uniqueness of a solution are proved via the Yosida approximation method when the generators are only stochastic monotone with respect to the y-variable and stochastic Lipschitz with respect to the z-variable, with different linear growth conditions.
- IBNOU ZOHR UNIVERSITY Morocco
- Université Ibn Zohr Morocco
RCLL martingale, Economics and Econometrics, Existence and Dynamics of Monetary Equilibrium Models, Yosida approximation, Social Sciences, Geometry, Generalized BSDEs with jumps, Stochastic Calculus, Mathematical analysis, Theory and Applications of Option Pricing Models, QA1-939, FOS: Mathematics, Martingale (probability theory), Stochastic Lipschitz coefficient, T57-57.97, Applied mathematics. Quantitative methods, Stochastic differential equation, stochastic monotone coefficient, Lipschitz continuity, Applied mathematics, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Monotone polygon, Uniqueness, Finance, Mathematics
RCLL martingale, Economics and Econometrics, Existence and Dynamics of Monetary Equilibrium Models, Yosida approximation, Social Sciences, Geometry, Generalized BSDEs with jumps, Stochastic Calculus, Mathematical analysis, Theory and Applications of Option Pricing Models, QA1-939, FOS: Mathematics, Martingale (probability theory), Stochastic Lipschitz coefficient, T57-57.97, Applied mathematics. Quantitative methods, Stochastic differential equation, stochastic monotone coefficient, Lipschitz continuity, Applied mathematics, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Monotone polygon, Uniqueness, Finance, Mathematics
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