Anticipated backward SDEs with jumps and quadratic-exponential growth drivers

DOI10.1142/S0219493719500205MaRDI QIDQ5384785zbMATH OpenOpenAlexWikidataFDO

Authors Masaaki Fujii, Akihiko Takahashi

Publication date 25 June 2019

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.02440

zbMATH Keywords

ABSDEfuture path dependent driverpredictive mean-field typequadratic growthtime-advanced

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we study a class of Anticipated Backward Stochastic Differential Equations (ABSDE) with jumps. The solution of the ABSDE is a triple $(Y,Z,psi)$ where $Y$ is a semimartingale, and $(Z,psi)$ are the diffusion and jump coefficients. We allow the driver of the ABSDE to have linear growth on the uniform norm of $Y$'s future paths, as well as quadratic and exponential growth on the spot values of $(Z,psi)$, respectively. The existence of the unique solution is proved for Markovian and non-Markovian settings with different structural assumptions on the driver. In the former case, some regularities on $(Z,psi)$ with respect to the forward process are also obtained.

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Cited in

(7)

• Anticipated backward stochastic differential equations with quadratic growth
• Anticipated backward stochastic differential equations with jumps under the non-Lipschitz condition
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Anticipated BSDEs driven by a single jump process
• Wellposedness of anticipated BSDEs with quadratic growth and unbounded terminal value
• Mean-field equilibrium price formation with exponential utility
• Anticipated backward stochastic differential equations with quadratic growth: multidimensional results

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