BSDEs and log-utility maximization for Lévy processes

DOI10.15559/19-VMSTA144MaRDI QIDQ2178928zbMATH OpenOpenAlexFDO

Authors P. Di Tella, H.-J. Engelbert

Publication date 12 May 2020

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.09289

zbMATH Keywords

utility maximizationBSDEspredictable representation propertyLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Abstract: In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L'{e}vy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility maximization of the terminal wealth in the filtration generated by an arbitrary L'{e}vy process.

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Cited in

(5)

• On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
• A BSDE arising in an exponential utility maximization problem in a pure jump market model
• scientific article; zbMATH DE number 6705403 (Why is no real title available?)
• Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise

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