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

Tianyang Nie, Marek Rutkowski
2021 Probability, Uncertainty and Quantitative Risk  
<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"
more » ... ref>] who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump. </p>
doi:10.3934/puqr.2021016 fatcat:tde4gp7rkbe7pbf6xds6ooyzey