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

DOI10.1214/105051606000000475zbMath1132.91457arXivmath/0702405OpenAlexW3101821180MaRDI QIDQ997416

Dirk Becherer

Publication date: 6 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702405

zbMATH Keywords

entropyhedgingbackward stochastic differential equationsincomplete marketsrandom measuresutility optimizationdynamic indifference valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic analysis (60H99)

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