Utility maximization in a jump market model

被引：39
作者：
Morlais, Marie-Amelie [1 ]
机构：
[1] Swiss Fed Inst Technol, CH-8006 Zurich, Switzerland
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2009年 / 81卷 / 01期
关键词：
utility maximization; backward stochastic differential equations (BSDE) with jumps; stochastic exponential; BMO martingale; STOCHASTIC DIFFERENTIAL-EQUATIONS;
D O I：
10.1080/17442500802201425
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider the classical problem of utility maximization 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 give the expression of the value function and characterize optimal strategies for the problem.
引用
收藏
页码：1 / 27
页数：27
相关论文
共 18 条
  • [1] [Anonymous], 1980, PROBABILITES POTENTI
  • [2] [Anonymous], MEASURABLE UTILITY M
  • [3] [Anonymous], 1989, STOCHASTIC DIFFERENT, DOI DOI 10.1002/BIMJ.4710320720
  • [4] Barles G., 1997, Stoch. Stoch. Rep., V60, P57, DOI 10.1080/17442509708834099
  • [5] Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging
    Becherer, Dirk
    [J]. ANNALS OF APPLIED PROBABILITY, 2006, 16 (04) : 2027 - 2054
  • [6] On the super replication price of unbounded claims
    Biagini, S
    Frittelli, M
    [J]. ANNALS OF APPLIED PROBABILITY, 2004, 14 (04) : 1970 - 1991
  • [7] BSDE with quadratic growth and unbounded terminal value
    Briand, Philippe
    Hu, Ying
    [J]. PROBABILITY THEORY AND RELATED FIELDS, 2006, 136 (04) : 604 - 618
  • [8] A CONVERSE COMPARISON THEOREM FOR BSDES AND RELATED PROPERTIES OF g-EXPECTATION
    Briand, Philippe
    Coquet, Francois
    Hu, Ying
    Memin, Jean
    Peng, Shige
    [J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2000, 5 : 101 - 117
  • [9] Delbaen F, 2006, MATH ARBITRAGE
  • [10] Backward stochastic differential equations in finance
    El Karoui, N
    Peng, S
    Quenez, MC
    [J]. MATHEMATICAL FINANCE, 1997, 7 (01) : 1 - 71
12