Utility Maximization in a jump market model - Archive ouverte HAL
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.
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Dates et versions

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

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