کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155382 1378664 2016 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
چکیده انگلیسی
Inspired by utility optimization problems in finance, in this paper we prove the existence of the solution of a class of BSDE's driven by a Brownian motion and a jump process, whose generator shows quadratic growth in the Brownian component and exponential growth with respect to the jump term. Existence and uniqueness of the solution is established first for bounded terminal value, then we extend the existence result to the unbounded case, under appropriate hypotheses.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 10, October 2016, Pages 3124-3144
نویسندگان
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