A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem

Marie-Amelie Morlais

Stochastic Processes and their Applications, 2010, vol. 120, issue 10, 1966-1995

Abstract: In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve this problem, we rely on the dynamic programming principle to express the value process of this problem in terms of the solution of a quadratic BSDE with jumps. Since the quadratic BSDE1 under study is driven by both a Wiener process and a Poisson random measure having a Lévy measure with infinite mass, our main task is therefore to establish a new existence result for the specific BSDE introduced.

Keywords: Backward; stochastic; differential; equations; Lévy; measure; Utility; maximization; Dynamic; programming; principle (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (37)

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