Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability
Computational Finance
2017-09-06 v6 Mathematical Finance
Abstract
We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the so-called A_gamma-condition for the comparison principle to hold, we prove the existence of a unique solution under the general quadratic-exponential structure. We have also shown that the strong convergence occurs under more general (not necessarily monotone) sequence of drivers, which is then applied to give the sufficient conditions for the Malliavin's differentiability.
Keywords
Cite
@article{arxiv.1512.05924,
title = {Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability},
author = {Masaaki Fujii and Akihiko Takahashi},
journal= {arXiv preprint arXiv:1512.05924},
year = {2017}
}
Comments
Forthcoming in Stochastic Processes and their Applications