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- W2204206610 abstract "We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bound on the possible solutions. With a bounded terminal condition and local Lipschitz continuity, we give a simple and streamlined proof for the existence as well as the uniqueness of the solution without using the comparison principle. The properties of locally Lipschitz BSDEs with coefficients in BMO space enable us to show the strong convergence of a sequence of globally Lipschitz BSDEs to the interested one, which is then used to give sufficient conditions for the Malliavin’s differentiability." @default.
- W2204206610 created "2016-06-24" @default.
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- W2204206610 date "2015-01-01" @default.
- W2204206610 modified "2023-09-30" @default.
- W2204206610 title "Quadratic-Exponential Growth BSDEs with Jumps and Their Malliavin's Differentiability" @default.
- W2204206610 doi "https://doi.org/10.2139/ssrn.2705670" @default.
- W2204206610 hasPublicationYear "2015" @default.
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