Consumption optimization for recursive utility in a jump-diffusion model

DOI10.1007/S10203-016-0177-1MaRDI QIDQ524899zbMATH OpenOpenAlexFDO

Authors Fabio Antonelli, Carlo Mancini

Publication date 27 April 2017

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-016-0177-1

zbMATH Keywords

inverse problemhomogeneityrecursive utilityBSDEsjump-diffusion processesconsumption process

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Backward-forward stochastic differential equations
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Efficient consumption set under recursive utility and unknown beliefs.
• Financial Modelling with Jump Processes
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• Optimal consumption and portfolio selection with stochastic differential utility
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
• Solution of forward-backward stochastic differential equations
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
• Stochastic Differential Utility

Cited in

(3)

• Locally Lipschitz BSDE with jumps and related Kolmogorov equation
• Consumption-portfolio optimization with recursive utility in incomplete markets
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS

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