$L^p$ Solutions of Backward Stochastic Differential Equations with Jumps

Song Yao

Published 2010-07-13, updated 2016-07-01Version 2

Given $p \in (1, 2)$, we study $L^p$-solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in $(y,z,u)$. We show that such a BSDEJ with a p-integrable terminal data admits a unique $L^p$ solution by approximating the monotonic generator by a sequence of Lipschitz generators via convolution with mollifiers and using a stability result.