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Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
2021
Probability, Uncertainty and Quantitative Risk
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<p style='text-indent:20px;'>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 [<xref ref-type="bibr" rid="b27">27</xref>, <xref ref-type="bibr" rid="b28">28</xref>] and Dumitrescu et al. [<xref ref-type="bibr"
doi:10.3934/puqr.2021016
fatcat:tde4gp7rkbe7pbf6xds6ooyzey