On Backward Stochastic Differential Equations (BSDEs) with jumps of infinite activity E-Book

Martin Büttner

• Herausgeber: GRIN Verlag
• Sprache: Englisch

Veröffentlichungsjahr: 2016

Beschreibung

Diploma Thesis from the year 2011 in the subject Mathematics - Stochastics, grade: 1,0, Humboldt-University of Berlin (Mathematik), language: English, abstract: This diploma thesis is concerned with backward stochastic differential equations (BSDEs) with jumps which are driven by a Brownian Motion and a random measure. We derive existence and uniqueness results for bounded solutions to such BSDEs when the generator posses a certain monotonicity property instead of the usual global Lipschitz condition. Starting with results in the case of finite activity, considering generators of difference type and showing a comparison theorem, allows us to advance to the case of infinite activity.