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BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration

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We analyze multidimensional BSDEs in a filtration that supports a Brownian motion and a Poisson random measure. Under a monotonicity assumption on the driver, the paper extends several results from the literature. We establish existence and uniqueness of solutions in provided that the generator and the terminal condition satisfy appropriate integrability conditions. The analysis is first carried out under a deterministic time horizon, and then generalized to random time horizons given by a stopping time with respect to the underlying filtration. Moreover, we provide a comparison principle in dimension one.

Keywords: 60H10; Backward SDE; general filtration; jumps

Document Type: Research Article

Affiliations: 1: Faculty of Mathematics, University of Duisburg-Essen, Essen, Germany. 2: Laboratoire Manceau de Mathématiques, Université du Maine, Le Mans, Cedex 9, France.

Publication date: 18 May 2016

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