Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability
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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