A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
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Publication:2638356
DOI10.1016/j.spa.2010.05.011zbMath1232.91631arXiv0809.0423MaRDI QIDQ2638356
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
backward stochastic differential equations; utility maximization; Lévy measure; dynamic programming principle
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B16: Utility theory
91G10: Portfolio theory
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