-solutions of generalized BSDEs with jumps and monotone generator in a general filtration
Volume 4, Issue 1 (2017), pp. 25–63
Pub. online: 7 February 2017
Type: Research Article
Open Access
Open Access
Received
28 April 2016
28 April 2016
Revised
18 January 2017
18 January 2017
Accepted
19 January 2017
19 January 2017
Published
7 February 2017
7 February 2017
Abstract
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of ${\mathbb{L}}^{p}(p\ge 2)$-solutions in the case of a fixed terminal time under suitable p-integrability conditions on the data. Then, we extend these results to the case of a random terminal time. Furthermore, we provide a comparison result in dimension 1.
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