HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Quadratic Exponential Semimartingales and Application to BSDEs with jumps

Abstract : In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadratic semimartingales introduced by Barrieu and El Karoui (2013) in the jump diffusion model. The properties of these class of semimartingales lead us to prove existence result for the solution of a quadratic BSDEs.
Complete list of metadata

Cited literature [49 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01740692
Contributor : Anis Matoussi Connect in order to contact the contributor
Submitted on : Thursday, March 22, 2018 - 11:44:29 AM
Last modification on : Monday, December 16, 2019 - 11:38:05 AM
Long-term archiving on: : Thursday, September 13, 2018 - 3:03:14 AM

File

QBSDEJ_arXiv06_04-2017-17.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01740692, version 1
  • ARXIV : 1603.06191

Collections

Citation

Nicole El Karoui, Anis Matoussi, Armand Ngoupeyou. Quadratic Exponential Semimartingales and Application to BSDEs with jumps. 2018. ⟨hal-01740692⟩

Share

Metrics

Record views

102

Files downloads

135