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dc.contributor.authorPapapantoleon, Antonis
dc.contributor.authorPossamaï, Dylan
dc.contributor.authorSaplaouras, Alexandros
dc.date.accessioned2018-03-09T13:47:17Z
dc.date.available2018-03-09T13:47:17Z
dc.date.issued2016
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17531
dc.language.isoenen
dc.subjectBSDEsen
dc.subjectprocesses with jumpsen
dc.subjectstochastically discontinuous martingalesen
dc.subjectrandom time horizonen
dc.subjectstochastic Lipschitz generatoren
dc.subject.ddc519en
dc.titleExistence and uniqueness results for BSDEs with jumps: the whole nine yardsen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, which in particular may be stochastically discontinuous. We show that for stochastic Lipschitz generators and unbounded, possibly infinite, horizon, these equations admit a unique solution in appropriately weighted spaces. Our result allows in particular to have a wellposedness result for BSDEs driven by discrete approximations of general martingales.en
dc.identifier.citationpages34en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://arxiv.org/abs/1607.04214en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-03-09T13:44:02Z
hal.person.labIds529847
hal.person.labIds60
hal.person.labIds529847


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