BSDEs driven by time-changed Lévy noises with non-Lipschitz generators |
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Authors: | Xiaohui Shen |
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Institution: | School of Mathematics, China University of Mining and Technology, Xuzhou, PR China |
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Abstract: | This paper deals with a class of backward stochastic differential equations (BSDEs for short) driven by time-changed Lévy noises. The existence and uniqueness of Lp(p ? 2) solutions for this kind of BSDEs with non-Lipschitz generators are obtained, which extend the corresponding results of Di Nunno and Sjursen (2014) Stochastic Process. Appl. 124(4):1679-1709]. Furthermore, representation theorem for generators as well as converse comparison theorem for this kind of BSDEs are also studied. |
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Keywords: | BSDEs driven by time-changed Lévy noises converse comparison theorem existence and uniqueness non-Lipschitz generator representation theorem |
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