Show simple item record

dc.contributor.authorKazi-Tani, Mohamed Nabil
HAL ID: 172501
dc.contributor.authorPossamaï, Dylan
dc.contributor.authorZhou, Chao
dc.date.accessioned2017-12-06T13:08:52Z
dc.date.available2017-12-06T13:08:52Z
dc.date.issued2015
dc.identifier.issn1083-6489
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17185
dc.language.isoenen
dc.subjectBSDEs
dc.subjectquadratic growth
dc.subjectjumps
dc.subjectfixed-point theorem
dc.subject.ddc519en
dc.titleQuadratic BSDEs with jumps: a fixed-point approach
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z; u). From a technical point of view, we use a direct fixed point approach as in Tevzadze [38], which allows us to obtain existence and uniqueness of a solution when the terminal condition is small enough. Then, thanks to a well-chosen splitting, we recover an existence result for general bounded solution. Under additional assumptions, we can obtain stability results and a comparison theorem, which as usual implies uniqueness.
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol20
dc.relation.isversionofjnlissue66
dc.relation.isversionofjnldate2015
dc.relation.isversionofdoi10.1214/EJP.v20-3363
dc.relation.isversionofjnlpublisherElectronic Journal of Probability and Electronic Communications in Probability
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-12-20T14:46:32Z


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record