A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem

2010/06/02 by Marie-Amelie Morlais, Marie-Amélie Morlais · 3 citations
Decision Sciences · Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Probability and Risk Models #Stochastic processes and financial applications

paper · doi:10.1016/j.spa.2010.05.011

openalex publication_date 2010/06/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/23

Citations

• Utility maximization in incomplete markets

Cited by

• Multivalued backward stochastic differential equations with jumps and moving boundary
• Quadratic BSDEs with jumps: a fixed-point approach
• Progressive enlargement of filtrations and Backward SDEs with jumps