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Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
BSDEs quadratic growth jumps non-linear Doob-Meyer decomposition dy-namical risk measures inf-convolution.
2012/9/17
We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...
Credit risk premia and quadratic BSDEs with a single jump
Backward Stochastic Differential Equations (BSDE) defaultable contingent claims progressive enlargement of filtrations utility maximization
2010/11/1
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles.Assuming exponential utility preferences we derive r...
Differentiability of quadratic BSDEs generated by continuous martingales
Forward Backward Stochastic Differential Equation driven by continuous martingale quadratic growth Markov property BMO martingale
2010/11/1
In this paper we consider a class of BSDEs with drivers of quadratic growth, on a
stochastic basis generated by continuous local martingales. We first derive the Markov
property of a forward-backwar...