most citedAn extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem

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math.PR2008★ 3 cited

An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem

Marie Amelie Morlais

In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle…

math.PR2007

On measure solutions of backward stochastic differential equations

Stefan Ankirchner, Peter Imkeller, Alexandre Popier

We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE wil…