An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem

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dc.creatorMorlais, Marie Amelie
dc.date2008-09-02
dc.date.accessioned2026-07-07T09:59:59Z
dc.date.available2026-07-07T09:59:59Z
dc.descriptionIn 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.
dc.description37 pages
dc.identifierhttps://arxiv.org/abs/0809.0423
dc.identifierhttp://arxiv.org/abs/0809.0423
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/168221
dc.subjectProbability
dc.subject91B28, 60H10
dc.titleAn extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
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