BSDEs and log-utility maximization for Lévy processes
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Publication:2178928
DOI10.15559/19-VMSTA144zbMATH Open1458.60063arXiv1912.09289OpenAlexW3101406950MaRDI QIDQ2178928FDOQ2178928
Authors: P. Di Tella, H.-J. Engelbert 
Publication date: 12 May 2020
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1912.09289
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Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Martingales and classical analysis (60G46)
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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
- Title not available (Why is that?)
- 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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