Abstract 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… Click to show full abstract
Abstract 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 Γ -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.
Journal Title: Stochastic Processes and their Applications
Year Published: 2017
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