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

Author:

Antonelli FabioORCID,Mancini Carlo

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference16 articles.

1. Backward stochastic differential equations and integral-partial differential equations;Barles;Stoch. Stoch. Rep.,1997

2. Bounded solutions to backward SDE’s with jumps for utility optimization and indifference hedging;Becherer;Ann. Appl. Probab.,2006

3. Functional Analysis, Sobolev Spaces and Partial Differential Equations;Brezis,2011

4. BSDE with quadratic growth and unbounded terminal value;Briand;Probab. Theory Related Fields,2006

5. Utility indifference valuation for jump risky assets;Ceci;Decis. Econ. Finance,2011

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