BSDEs with jumps in a general filtration

T Kruse (1) , A Popier (2)

1 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry
2 LMM - Laboratoire Manceau de Mathématiques

In this paper, we show existence and uniqueness of the solution of a multidimensional backward stochastic differential equation (BSDE). The aim is to extend several results on BSDE (L p solutions, jumps, monotonicity, terminal random time, etc.) without assumption on the filtration.

Domaines: Probabilités [math.PR]

T Kruse, A Popier. BSDEs with jumps in a general filtration. 2014. ⟨hal-01094836v1⟩