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dc.contributor.authorGeiss, Christel
dc.contributor.authorSteinicke, Alexander
dc.date.accessioned2019-01-09T12:28:50Z
dc.date.available2019-01-09T12:28:50Z
dc.date.issued2018
dc.identifier.citationGeiss, C., & Steinicke, A. (2018). Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting. <i>Probability, Uncertainty and Quantitative Risk</i>, <i>3</i>(9), 1-33. <a href="https://doi.org/10.1186/s41546-018-0034-y" target="_blank">https://doi.org/10.1186/s41546-018-0034-y</a>
dc.identifier.otherCONVID_28838596
dc.identifier.otherTUTKAID_80194
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/60988
dc.description.abstractWe show that the comparison results for a backward SDE with jumps established in Royer (Stoch. Process. Appl 116: 1358–1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346: 345–358, 2008) hold under more simplified conditions. Moreover, we prove existence and uniqueness allowing the coefficients in the linear growth- and monotonicity-condition for the generator to be random and time-dependent. In the L2-case with linear growth, this also generalizes the results of Kruse and Popier (Stochastics 88: 491–539, 2016). For the proof of the comparison result, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we approximate it by BSDEs where the Poisson random measure admits only jumps of size larger than 1/n.fi
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherShandong Daxue
dc.relation.ispartofseriesProbability, Uncertainty and Quantitative Risk
dc.rightsCC BY 4.0
dc.subject.otherbackward stochastic differential equation
dc.subject.otherLévy process
dc.subject.othercomparison theorem
dc.subject.otherexistence and uniqueness
dc.titleExistence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-201901081092
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.oppiaineMatematiikkafi
dc.contributor.oppiaineMathematicsen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.date.updated2019-01-08T10:15:09Z
dc.description.reviewstatuspeerReviewed
dc.format.pagerange1-33
dc.relation.issn2367-0126
dc.relation.numberinseries9
dc.relation.volume3
dc.type.versionpublishedVersion
dc.rights.copyright© The Author(s), 2018.
dc.rights.accesslevelopenAccessfi
dc.subject.ysodifferentiaaliyhtälöt
dc.subject.ysostokastiset prosessit
dc.format.contentfulltext
jyx.subject.urihttp://www.yso.fi/onto/yso/p3552
jyx.subject.urihttp://www.yso.fi/onto/yso/p11400
dc.rights.urlhttps://creativecommons.org/licenses/by/4.0/
dc.relation.doi10.1186/s41546-018-0034-y


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