Publication:2638356

{{DISPLAYTITLE:A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem

DOI10.1016/j.spa.2010.05.011zbMath1232.91631arXiv0809.0423OpenAlexW2163206173MaRDI QIDQ2638356

Marie-Amélie Morlais

Publication date: 15 September 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.0423

zbMATH Keywords

backward stochastic differential equationsutility maximizationLévy measuredynamic programming principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)

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