On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples

Abstract

We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure for jumps, which could be of infinite activity with a non-deterministic and time inhomogeneous compensator. The BSDE generator function can be non convex and needs not to satisfy global Lipschitz conditions in the jump integrand. We contribute concrete criteria, that are easy to verify, for results on existence and uniqueness of bounded solutions to BSDEs with jumps, and on comparison and a-priori $L^{\infty }$-bounds. Several examples and counter examples are discussed to shed light on the scope and applicability of different assumptions, and we provide an overview of major applications in finance and optimal control.

arXiv comment28 pages. Added DOI https://link.springer.com/chapter/10.1007%2F978-3-030-22285-7_1 for final publication, corrected typo (missing gamma) in example 4.15

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Cited by in corpus (3)

• Existence, Uniqueness and Malliavin Differentiability of Lévy-driven BSDEs with locally Lipschitz Driver
• Exponential Quadratic BSDEs with infinite activity Jumps
• Reflections on BSDEs