Quadratic-exponential growth BSDEs with jumps and their Malliavin's differentiability

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Fujii, Masaaki¹  Takahashi, Akihiko¹ 

[1] Univ Tokyo, Quantitat Finance Course, Grad Sch Econ, Tokyo, Japan

关键词: Jump;    Random measure;    Levy;    Malliavin derivative;   

DOI  :  10.1016/j.spa.2017.09.002

来源: Elsevier

【 摘 要 】

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(Gamma)-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. (C) 2017 The Author(s). Published by Elsevier B.V.

【 授权许可】

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