{
  "id": "2103.08898",
  "version": "v1",
  "published": "2021-03-16T07:56:13.000Z",
  "updated": "2021-03-16T07:56:13.000Z",
  "title": "Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales",
  "authors": [
    "Tianyang Nie",
    "Marek Rutkowski"
  ],
  "comment": "22 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models with jumps, including as particular cases the setups studied by Peng and Xu \\cite{PX2009,PX2010} and Dumitrescu et al. \\cite{DGQS2018} who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2021-03-16T07:56:13.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H30",
      "91G30",
      "91G40"
    ],
    "keywords": [
      "backward stochastic differential equations driven",
      "strict comparison theorems",
      "rcll martingale",
      "uniqueness"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 22,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}