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arXiv:0809.0423 [math.PR]AbstractReferencesReviewsResources

An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem

Marie Amelie Morlais

Published 2008-09-02Version 1

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.

Comments: 37 pages
Categories: math.PR
Subjects: 91B28, 60H10
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