Quadratic Exponential Semimartingales and Application to BSDEs with jumps

Abstract

In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadratic semimartingales introduced by Barrieu and El Karoui (2013) in the jump diffusion model. The properties of these class of semimartingales lead us to prove existence result for the solution of a quadratic BSDEs.

arXiv comment31

References in corpus (1)

• Utility maximization in incomplete markets

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