89 citations · 212 across the 27 of their papers we have counts for
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math.PR2016★ 18 cited
Quadratic Exponential Semimartingales and Application to BSDEs with jumps
Nicole El Karoui, Anis Matoussi, Armand Ngoupeyou
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 quadrat…
q-fin.MF2016★ 1 cited
Convex duality for stochastic differential utility
Anis Matoussi, Hao Xing
This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin util…