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Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting

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  • We 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.
    Mathematics Subject Classification: 60H10.

    Citation:

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