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arXiv · 1904.08666

Exponential Quadratic BSDEs with infinite activity Jumps

Anis Matoussi·Rym Salhi
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Abstract

In this paper, we study a Backward Stochastic Differential Equation with Jumps (BSDEJs in short) where the jumps have infinite activity. Following a forward approach based on Exponential Quadratic semimartingale, we prove the existence of solution of Quadratic BSDEJs with unbounded terminal condition and quadratic growth in z.

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Anis Matoussi, Rym Salhi. 2019-04-18. Exponential Quadratic BSDEs with infinite activity Jumps. https://arxiv.org/abs/1904.08666

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