An expected exponential utility maximization problem for bitcoin miners

DOI10.1007/S13160-023-00610-WMaRDI QIDQ6179932zbMATH OpenOpenAlexFDO

Authors Kazuhiro Yasuda

Publication date 18 January 2024

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-023-00610-w

zbMATH Keywords

bitcoin miningexponential utilityHamilton-Jacobi-Bellman equationoptimal investment strategyYor's formula

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Utility theory (91B16) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

Recommendations

• Socially optimal mining pools
• Optimal bitcoin trading with inverse futures
• A mean field game approach to bitcoin mining
• A further study of some Markovian bitcoin models from Göbel et al.
• Model-based pairs trading in the bitcoin markets

Cites work

• An optimal investment strategy with maximal risk aversion and its ruin probability
• Controlled Markov processes and viscosity solutions
• Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model
• Mathematical methods for financial markets.
• Ruin probabilities

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