A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market (Q2844032)

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A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
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    Statements

    title
    A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market (English)
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    author
    Michael Kohlmann
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    Li Siyuan
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    Dewen Xiong
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    publication date
    27 August 2013
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    zbMATH Keywords
    forward utility field
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    Itō-Ventzell formula
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    jump markets
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H30
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    60G44
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    zbMATH DE Number
    6201901
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