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Anticipated Backward SDEs with Jumps and Quadratic-Exponential Growth Drivers
| Content Provider | Semantic Scholar |
|---|---|
| Author | Fujii, Masaaki Takahashi, Akihiko |
| Copyright Year | 2017 |
| Abstract | In this paper, we study a class of Anticipated Backward Stochastic Differential Equations (ABSDE) with jumps. The solution of the ABSDE is a triple $(Y,Z,\psi)$ where $Y$ is a semimartingale, and $(Z,\psi)$ are the diffusion and jump coefficients. We allow the driver of the ABSDE to have linear growth on the uniform norm of $Y$'s future paths, as well as quadratic and exponential growth on the spot values of $(Z,\psi)$, respectively. The existence of the unique solution is proved for Markovian and non-Markovian settings with different structural assumptions on the driver. In the former case, some regularities on $(Z,\psi)$ with respect to the forward process are also obtained. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.2964111 |
| Alternate Webpage(s) | https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F431.pdf |
| Alternate Webpage(s) | https://arxiv.org/pdf/1705.02440v4.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.2964111 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
