Exponential Quadratic BSDEs with infinite activity Jumps
Probability
2019-06-21 v2
Abstract
In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of solution of Quadratic BSDEJs with unbounded terminal condition and quadratic growth in z.
Cite
@article{arxiv.1904.08666,
title = {Exponential Quadratic BSDEs with infinite activity Jumps},
author = {Anis Matoussi and Rym Salhi},
journal= {arXiv preprint arXiv:1904.08666},
year = {2019}
}