Utility maximization in a jump market model
نویسندگان
چکیده
منابع مشابه
Utility maximization in a jump market model
Abstract In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a specific BSDE. This being done, we aim at showing existence and uniqueness results for the introduced BSDE. This allows us finally to give an “explicit” ...
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In this paper, we consider the classical problem of utility maxi-mization in a financial market allowing jumps. Assuming that the constraint set of all trading strategies is a compact set, rather than a convex one, we use a dynamic method from which we derive a specific BSDE. To solve the financial problem, we first prove existence and uniqueness results for the introduced BSDE. This allows to ...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2009
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442500802201425