35 citations · 50 across the 9 of their papers we have counts for
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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…
q-fin.PR2008
Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
Marie-Amelie Morlais
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver is convex and has qu…