Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator

DOI10.1016/j.spa.2016.04.004zbMath1347.60067OpenAlexW2405382143MaRDI QIDQ311996

Carlo Mancini, Fabio Antonelli

Publication date: 13 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.spa.2016.04.004

zbMATH Keywords

Brownian motionbackward stochastic differential equationsmathematical financejump-diffusion processes

Mathematics Subject Classification ID

Related Items (8)

On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Locally Lipschitz BSDE with jumps and related Kolmogorov equation ⋮ Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver ⋮ Quadratic BSDEs with jumps and related PIDEs ⋮ Ong−evaluations with domains under jump filtration ⋮ Anticipated backward SDEs with jumps and quadratic-exponential growth drivers ⋮ Consumption optimization for recursive utility in a jump-diffusion model ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk

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