UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS (Q4649503): Difference between revisions

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scientific article; zbMATH DE number 6109790

Language	Label	Description	Also known as
English	UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS	scientific article; zbMATH DE number 6109790

Statements

instance of

scholarly article

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title

UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS (English)

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author

Claudia Ceci

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published in

International Journal of Theoretical and Applied Finance

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publication date

22 November 2012

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zbMATH Keywords

utility maximization

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filtering

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backward stochastic differential equations

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jump processes

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MaRDI profile type

MaRDI publication profile

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cites work

PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

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Bond Market Structure in the Presence of Marked Point Processes

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Markov Chains

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Risk minimizing hedging for a partially observed high frequency data model

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Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems

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Wealth optimization and dual problems for jump stock dynamics with stochastic factor

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Utility indifference valuation for jump risky assets

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PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH

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Convex duality in constrained portfolio optimization

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Quelques applications de la formule de changement de variables pour les semimartingales

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The fundamental theorem of asset pricing for unbounded stochastic processes

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Risk Minimization with Incomplete Information in a Model for High-Frequency Data

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A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA

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Pricing credit derivatives under incomplete information: a nonlinear-filtering approach

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Utility maximization in incomplete markets

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Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales

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Unique characterization of conditional distributions in nonlinear filtering

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Exponential utility maximization under partial information

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Mixed control problem under partial observation

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Optimum consumption and portfolio rules in a continuous-time model

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Utility maximization in a jump market model

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The opportunity process for optimal consumption and investment with power utility

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Optimal portfolio in partially observed stochastic volatility models.

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Q4492756

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Utility maximization with convex constraints and partial information

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full work available at URL

https://doi.org/10.1142/s0219024912500409

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Identifiers

zbMATH Open document ID

1262.91066

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DOI

10.1142/S0219024912500409

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4649503

@@ Property / cites work @@
+PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Markov Chains
@@ Property / cites work: Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Risk minimizing hedging for a partially observed high frequency data model
+Normal rank
@@ Property / cites work @@
+Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
+Normal rank
@@ Property / cites work @@
+Wealth optimization and dual problems for jump stock dynamics with stochastic factor
+Normal rank
@@ Property / cites work @@
+Utility indifference valuation for jump risky assets
+Normal rank
@@ Property / cites work @@
+PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Quelques applications de la formule de changement de variables pour les semimartingales
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+Risk Minimization with Incomplete Information in a Model for High-Frequency Data
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
+Normal rank
@@ Property / cites work @@
+Unique characterization of conditional distributions in nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Exponential utility maximization under partial information
+Normal rank
@@ Property / cites work @@
+Mixed control problem under partial observation
@@ Property / cites work: Mixed control problem under partial observation / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Utility maximization in a jump market model
@@ Property / cites work: Utility maximization in a jump market model / rank @@
+Normal rank
@@ Property / cites work @@
+The opportunity process for optimal consumption and investment with power utility
+Normal rank
@@ Property / cites work @@
+Optimal portfolio in partially observed stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Q4492756
@@ Property / cites work: Q4492756 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization with convex constraints and partial information
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024912500409
+Normal rank
@@ Property / OpenAlex ID @@
+W2037423440
@@ Property / OpenAlex ID: W2037423440 / rank @@
+Normal rank