%0 Journal Article
%T An extended existence result for quadratic BSDEs with jumps with application to the utility maximization problem
%A Marie Amelie Morlais
%J Mathematics
%D 2008
%I arXiv
%X In this study, we consider the exponential utility maximization problem in the context of a jump-diffusion model. To solve the problem, we rely on the dynamic programming principle and we derive from it a quadratic BSDE with jumps. Since this quadratic BSDE is driven both by a Wiener process and by a Poisson random measure having a Levy measure with infinite mass, our main task consists in establishing a new existence result for the specific BSDE introduced.
%U http://arxiv.org/abs/0809.0423v1