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

3 citations · 3 across the 1 of their papers we have counts for

collaborators

1 paper

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…