Exponential growth BSDE driven by a marked point process
Probability
2024-04-30 v2
Abstract
In this study, we investigate the well-posedness of exponential growth backward stochastic differential equations (BSDEs) driven by a marked point process (MPP) under unbounded terminal conditions. Our analysis utilizes a fixed-point argument, the -method, and an approximation procedure. Additionally, we establish the solvability of mean-reflected exponential growth BSDEs driven by the MPP using the -method.
Cite
@article{arxiv.2310.14728,
title = {Exponential growth BSDE driven by a marked point process},
author = {Zihao Gu and Yiqing Lin and Kun Xu},
journal= {arXiv preprint arXiv:2310.14728},
year = {2024}
}