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dc.contributor.authorGeiss, Christel
dc.contributor.authorSteinicke, Alexander
dc.date.accessioned2020-04-21T11:45:14Z
dc.date.available2020-06-14T21:35:10Z
dc.date.issued2020
dc.identifier.citationGeiss, C., & Steinicke, A. (2020). Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver. <i>Stochastics</i>, <i>92</i>(3), 418-453. <a href="https://doi.org/10.1080/17442508.2019.1626859" target="_blank">https://doi.org/10.1080/17442508.2019.1626859</a>
dc.identifier.otherCONVID_30945456
dc.identifier.otherTUTKAID_81668
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/68631
dc.description.abstractWe investigate conditions for solvability and Malliavin differentiability of backward stochastic differential equations driven by a Lévy process. In particular, we are interested in generators which satisfy a local Lipschitz condition in the Z and U variable. This includes settings of linear, quadratic and exponential growths in those variables. Extending an idea of Cheridito and Nam to the jump setting and applying comparison theorems for Lévy-driven BSDEs, we show existence, uniqueness, boundedness and Malliavin differentiability of a solution. The pivotal assumption to obtain these results is a boundedness condition on the terminal value ξ and its Malliavin derivative Dξ. Furthermore, we extend existence and uniqueness theorems to cases where the generator is not even locally Lipschitz in U. BSDEs of the latter type find use in exponential utility maximization.en
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.ispartofseriesStochastics
dc.rightsIn Copyright
dc.subject.otherMalliavin-laskenta
dc.subject.otherBSDEs with jumps
dc.subject.otherlocally Lipschitz generator
dc.subject.otherquadratic BSDEs
dc.subject.otherexistence and uniqueness of solutions to BSDEs
dc.subject.othermalliavin differentiability of BSDEs
dc.titleExistence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-202004202819
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.oppiaineMatematiikkafi
dc.contributor.oppiaineMathematicsen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.date.updated2020-04-20T09:15:07Z
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.description.reviewstatuspeerReviewed
dc.format.pagerange418-453
dc.relation.issn1744-2508
dc.relation.numberinseries3
dc.relation.volume92
dc.type.versionacceptedVersion
dc.rights.accesslevelopenAccessfi
dc.subject.ysostokastiset prosessit
dc.subject.ysodifferentiaaliyhtälöt
dc.subject.ysomatematiikka
dc.format.contentfulltext
jyx.subject.urihttp://www.yso.fi/onto/yso/p11400
jyx.subject.urihttp://www.yso.fi/onto/yso/p3552
jyx.subject.urihttp://www.yso.fi/onto/yso/p3160
dc.rights.urlhttp://rightsstatements.org/page/InC/1.0/?language=en
dc.relation.doi10.1080/17442508.2019.1626859
jyx.fundinginformationAlexander Steinicke is supported by the Austrian Science Fund (FWF): Project F5508-N26, which is part of the Special Research Program “Quasi-Monte Carlo Methods: Theory and Applications”.
dc.type.okmA1


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