Exponential growth BSDE driven by a marked point process
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866914772754104320 |
|---|---|
| author | Gu, Zihao Lin, Yiqing Xu, Kun |
| author_facet | Gu, Zihao Lin, Yiqing Xu, Kun |
| contents | In this study, we investigate the well-posedness of exponential growth backward stochastic differential equations (BSDEs) driven by a marked point process (MPP) under unbounded terminal conditions. Our analysis utilizes a fixed-point argument, the $θ$-method, and an approximation procedure. Additionally, we establish the solvability of mean-reflected exponential growth BSDEs driven by the MPP using the $θ$-method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_14728 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Exponential growth BSDE driven by a marked point process Gu, Zihao Lin, Yiqing Xu, Kun Probability In this study, we investigate the well-posedness of exponential growth backward stochastic differential equations (BSDEs) driven by a marked point process (MPP) under unbounded terminal conditions. Our analysis utilizes a fixed-point argument, the $θ$-method, and an approximation procedure. Additionally, we establish the solvability of mean-reflected exponential growth BSDEs driven by the MPP using the $θ$-method. |
| title | Exponential growth BSDE driven by a marked point process |
| topic | Probability |
| url | https://arxiv.org/abs/2310.14728 |