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

作　　者：Tianyang Nie Marek Rutkowski 

机构地区：[1]School of Mathematics,Shandong University,Jinan 250100,Shandong,China [2]School of Mathematics and Statistics,University of Sydney,Sydney,NSW 2006,Australia [3]Faculty of Mathematics and Information Science,Warsaw University of Technology,00-661 Warszawa,Poland

出　　处：《Probability, Uncertainty and Quantitative Risk》2021年第4期319-342,共24页概率、不确定性与定量风险（英文）

基　　金：the Australian Research Council Discovery Project(Grant No.DP200101550);The work of T.Nie was supported by the National Natural Science Foundation of China(Grant Nos.12022108,11971267,11831010,61961160732);Natural Science Foundation of Shandong Province(Grant Nos.ZR2019Z D42,ZR2020ZD24)。

摘　　要：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[27,28]and Dumitrescu et al.[7]who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.

关 键 词：Backward stochastic differential equation RCLL martingale Comparison theorem 

分 类 号：O17[理学—数学]