Exponential growth BSDE driven by a marked point process

Zihao Gu; Yiqing Lin; Kun Xu

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arXiv · 2310.14728

Exponential growth BSDE driven by a marked point process

Zihao Gu·Yiqing Lin·Kun Xu

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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 $\theta$-method, and an approximation procedure. Additionally, we establish the solvability of mean-reflected exponential growth BSDEs driven by the MPP using the $\theta$-method.

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Zihao Gu, Yiqing Lin, Kun Xu. 2023-10-23. Exponential growth BSDE driven by a marked point process. https://arxiv.org/abs/2310.14728

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