arXiv Open Access 2015

Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability

Masaaki Fujii Akihiko Takahashi

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Abstrak

We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the so-called A_gamma-condition for the comparison principle to hold, we prove the existence of a unique solution under the general quadratic-exponential structure. We have also shown that the strong convergence occurs under more general (not necessarily monotone) sequence of drivers, which is then applied to give the sufficient conditions for the Malliavin's differentiability.

Topik & Kata Kunci

q-fin.CP q-fin.MF

Penulis (2)

Masaaki Fujii

Akihiko Takahashi

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APA MLA BibTeX

Fujii, M., Takahashi, A. (2015). Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability. https://arxiv.org/abs/1512.05924

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓