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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…
math.PR2012★ 7 cited
Robust utility maximization problem in model with jumps and unbounded claim
Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem…