{
  "id": "0809.0423",
  "version": "v1",
  "published": "2008-09-02T15:01:18.000Z",
  "updated": "2008-09-02T15:01:18.000Z",
  "title": "An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem",
  "authors": [
    "Marie Amelie Morlais"
  ],
  "comment": "37 pages",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-09-02T15:01:18.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91B28",
      "60H10"
    ],
    "keywords": [
      "quadratic bsde",
      "extended existence result",
      "application",
      "exponential utility maximization problem",
      "main task consists"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 37,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0809.0423A"
    }
  }
}