Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

DOI10.1007/S00245-024-10114-9MaRDI QIDQ6426674zbMATH OpenOpenAlexFDO

Authors Marina Santacroce, Paola Siri, Barbara Trivellato

Publication date 16 February 2023

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00245-024-10114-9

Mathematics Subject Classification ID

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

Abstract: We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

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(1)

• Long-time behaviors of some stochastic differential equations driven by Lévy noise

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