Exponential Quadratic BSDEs with infinite activity Jumps

Abstract

In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of solution of Quadratic BSDEJs with unbounded terminal condition and quadratic growth in z.

References in corpus (3)

• Utility maximization in incomplete markets
• Quadratic Exponential Semimartingales and Application to BSDEs with jumps
• On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples

Cited by in corpus (1)

• Reflections on BSDEs