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Lp-solution of generalized BSDEs in a general filtration with stochastic monotone coefficients

Year: 2025

Type: article

Abstract: Multidimensional generalized backward stochastic differential equations (GBSDEs) are studied within a general filtration that supports a Brownian motion under weak assumptions on the associated data. The existence and uniqueness of solutions in ${\mathbb{L}^{p}}$ for $p\in (1,2)$ are established. The results apply to generators that are stochastic monotone in the y-variable, stochastic Lipschitz in the z-variable, and satisfy a general stochastic linear growth condition.

Source: Modern Stochastics Theory and Applications

DOI: 10.15559/25-vmsta287

Authors: Badr Elmansouri, Mohamed El Otmani

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4415847206

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Cites: 50

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