On a Class of Quadratic Growth RBSDE with Jumps and Its Application

DOI10.1080/15326340903088834zbMath1173.60326OpenAlexW2003215444MaRDI QIDQ3396377

Bo Zhang, Biao Li

Publication date: 18 September 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340903088834

zbMATH Keywords

utility maximizationbackward stochastic differential equation (BSDE)Poisson random measurereflected BSDE (RBSDE)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cites Work

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