Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients

Abstract

A solution is given to generalized backward stochastic differential equations driven by a real-valued RCLL martingale on an arbitrary filtered probability space. The existence and uniqueness of a solution are proved via the Yosida approximation method when the generators are only stochastic monotone with respect to the y-variable and stochastic Lipschitz with respect to the z-variable, with different linear growth conditions.

Keywords

• Generalized BSDEs with jumps
• RCLL martingale
• stochastic monotone coefficient
• Stochastic Lipschitz coefficient
• Yosida approximation