Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550234 | Stochastic Processes and their Applications | 2018 | 48 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Masaaki Fujii, Akihiko Takahashi,