Thumbnail
Access Restriction
Open

Author Morlais, Marie Amelie
Source arXiv.org
Content type Text
File Format PDF
Date of Submission 2008-09-02
Language English
Subject Domain (in DDC) Natural sciences & mathematics ♦ Mathematics
Subject Keyword Mathematics - Probability ♦ 91B28 ♦ 60H10 ♦ math
Abstract 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 and we derive from it a quadratic BSDE with jumps. Since this quadratic BSDE is driven both by a Wiener process and by a Poisson random measure having a Levy measure with infinite mass, our main task consists in establishing a new existence result for the specific BSDE introduced.
Educational Use Research
Learning Resource Type Article
Page Count 37


Open content in new tab

   Open content in new tab