UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH

DOI10.1142/S0219024915500454zbMath1337.91155arXiv1503.02062OpenAlexW1854945631MaRDI QIDQ3460679

Dylan Possamaï, Anthony Réveillac, Thibaut Mastrolia, Monique Jeanblanc-Picqué

Publication date: 8 January 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.02062

zbMATH Keywords

credit riskenlargement of filtrationquadratic BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Credit risk (91G40)

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Quadratic BSDEs with jumps and related PIDEs ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Limit behaviour of BSDE with jumps and with singular terminal condition ⋮ Risk-sharing and optimal contracts with large exogenous risks ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Unnamed Item ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Indifference pricing of pure endowments via BSDEs under partial information ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting ⋮ Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion ⋮ Information uncertainty related to marked random times and optimal investment

Cites Work

• Unnamed Item
• Pseudo linear pricing rule for utility indifference valuation
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Semi-martingales et grossissement d'une filtration
• Remarks on a characterisation of BMO-martingales
• Continuous exponential martingales and BMO
• Utility maximization in incomplete markets
• Pricing Via Utility Maximization and Entropy
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Utility maximization in a jump market model

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