An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
نویسندگان
چکیده
In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve this problem, we rely on the dynamic programming principle and we derive from it a quadratic BSDE with jumps. Since this quadratic BSDE2 is driven both by a Wiener process and a Poisson random measure having a Levy measure with infinite mass, our main work consists in establishing a new existence result for the specific BSDE introduced.
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