Backward stochastic differential equations (BSDEs) arise in many financial problems. Although there exists a growing number of papers considering general financial markets, the theory of BSDEs has been developed just in the Brownian setting. We consider BSDEs driven by an Rᵈ-valued càdlàg martingale and we study the properties of the solutions in the case of a, possibly nonuniform, Lipschitz generator.
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Carbone et al. (2008) studied this question.
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