Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability
Sign Up to like & getrecommendations! Published in 2017 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2017.09.002
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… read more here.
Keywords: growth bsdes; quadratic exponential; malliavin differentiability; bsdes jumps ... See more keywords
Reflected BSDEs with jumps in time-dependent convex càdlàg domains
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2020.06.001
Abstract: Abstract In the first part of the paper, we study the unique solvability of multidimensional reflected backward stochastic differential equations (RBSDEs) of Wiener–Poisson type with reflection in the inward spatial normal direction of a time-dependent… read more here.
Keywords: reflected bsdes; time; convex; time dependent ... See more keywords
Multidimensional Markovian BSDEs with Jumps and Continuous Generators
Sign Up to like & getrecommendations! Published in 2022 at "Axioms"
DOI: 10.3390/axioms12010026
Abstract: We deal with a multidimensional Markovian backward stochastic differential equation driven by a Poisson random measure and independent Brownian motion (BSDEJ for short). As a first result, we prove, under the Lipschitz condition, that the… read more here.
Keywords: jumps continuous; multidimensional markovian; markovian bsdes; continuous generators ... See more keywords