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BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
Authors:Xiaohui Shen
Institution:School of Mathematics, China University of Mining and Technology, Xuzhou, PR China
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.
Keywords:BSDEs driven by time-changed Lévy noises  converse comparison theorem  existence and uniqueness  non-Lipschitz generator  representation theorem
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