An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
Probability
2008-09-03 v1
Abstract
In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle and we derive from it a quadratic BSDE with jumps. Since this quadratic BSDE is driven both by a Wiener process and by a Poisson random measure having a Levy measure with infinite mass, our main task consists in establishing a new existence result for the specific BSDE introduced.
Keywords
Cite
@article{arxiv.0809.0423,
title = {An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem},
author = {Marie Amelie Morlais},
journal= {arXiv preprint arXiv:0809.0423},
year = {2008}
}
Comments
37 pages