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ABSTRACT This paper deals with a class of backward stochastic differential equations (BSDEs for short) driven by time-changed Lévy noises. The existence and uniqueness of Lp(p ⩾ 2) solutions for… Click to show full abstract
ABSTRACT This paper deals with a class of backward stochastic differential equations (BSDEs for short) driven by time-changed Lévy noises. The existence and uniqueness of Lp(p ⩾ 2) solutions for this kind of BSDEs with non-Lipschitz generators are obtained, which extend the corresponding results of Di Nunno and Sjursen (2014) [Stochastic Process. Appl. 124(4):1679-1709]. Furthermore, representation theorem for generators as well as converse comparison theorem for this kind of BSDEs are also studied.
Keywords:
time changed;
changed noises;
lipschitz generators;
non lipschitz;
driven time
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
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Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
Link to full text (if available)
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recommendations!