Logarithmic utility maximization in an exponential Lévy model

DOI10.3103/S0027132214060035zbMath1354.91144MaRDI QIDQ2356496

M. Yu. Ivanov

Publication date: 30 July 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model

Cites Work

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