$\mathbb{L}^p$ $(p>1)$-solutions for BSDEs with jumps and stochastic monotone generator

Abstract

We study multidimensional discontinuous backward stochastic differential equations in a filtration that supports both a Brownian motion and an independent integer-valued random measure. Under suitable $\mathbb{L}^p$-integrability conditions on the data, we establish the existence and uniqueness of $\mathbb{L}^p$-solutions for both cases: $p \geq 2$ and $p \in (1,2)$. The generator is assumed to be stochastically monotone in the state variable $y$, stochastically Lipschitz in the control variables $(z, u)$, and to satisfy a stochastic linear growth condition, along with an appropriate $\mathbb{L}^p$-integrability requirement.