Utility Maximization in a jump market model - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

Utility Maximization in a jump market model

Résumé

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. We then aim at showing existence and uniqueness results for the introduced BSDE. This allows us to give an explicit expression of the value function and characterize optimal strategies for our problem.
Fichier principal
Vignette du fichier
0612181.pdf (287.3 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01835198 , version 1 (11-07-2018)

Identifiants

Citer

Marie Amélie Morlais. Utility Maximization in a jump market model. 2018. ⟨hal-01835198⟩
69 Consultations
113 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More