Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability
نویسندگان
چکیده
منابع مشابه
Classical and Variational Differentiability of BSDEs with Quadratic Growth
We consider Backward Stochastic Differential Equations (BSDEs) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector parameter x. We give sufficient conditions for the solution pair of the BSDE to be differentiable in x. These results can be applied to systems of forward-bac...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2018
ISSN: 0304-4149
DOI: 10.1016/j.spa.2017.09.002