کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550234 | 1489923 | 2018 | 48 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Quadratic-exponential growth BSDEs with jumps and their Malliavin's differentiability
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the so-called AÎ-condition for the comparison principle to hold, we prove the existence of a unique solution under the general quadratic-exponential structure. We have also shown that the strong convergence occurs under more general (not necessarily monotone) sequence of drivers, which is then applied to give the sufficient conditions for the Malliavin's differentiability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 6, June 2018, Pages 2083-2130
Journal: Stochastic Processes and their Applications - Volume 128, Issue 6, June 2018, Pages 2083-2130
نویسندگان
Masaaki Fujii, Akihiko Takahashi,