arXiv subjects

Marie Amelie Morlais

Publications and source records attributed to Marie Amelie Morlais.

2 recordsLinked to original sources

arXiv2012

Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles

We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward SDEs, we construct a continuous viscosity solution of polynomial growth. Moreover, we establish a comparison result which in turn yields uniqueness of the solution.

math.AP↗

arXiv2008

An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem

In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle and we derive from it a quadratic BSDE with jumps. Since this quadratic BSDE is driven both by a Wiener process and by a Poisson random measure having a Levy measure with infinite mass, our main task consists in establishing a new existence result for the specific BSDE introduced.

math.PR↗