English

Quadratic BSDEs with jumps: a fixed-point approach

Probability 2014-03-07 v3 Risk Management

Abstract

In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed point approach as in Tevzadze [38], which allows us to obtain existence and uniqueness of a solution when the terminal condition is small enough. Then, thanks to a well-chosen splitting, we recover an existence result for general bounded solution. Under additional assumptions, we can obtain stability results and a comparison theorem, which as usual implies uniqueness.

Keywords

Cite

@article{arxiv.1208.5581,
  title  = {Quadratic BSDEs with jumps: a fixed-point approach},
  author = {M. Nabil Kazi-Tani and Dylan Possamaï and Chao Zhou},
  journal= {arXiv preprint arXiv:1208.5581},
  year   = {2014}
}

Comments

29 pages

R2 v1 2026-06-21T21:56:09.842Z