Optimization problem under change of regime of interest rate

DOI10.1142/S0219493716500155zbMath1415.91265arXiv1305.7309OpenAlexW1839760221MaRDI QIDQ2816571

Bogdan Iftimie, Thomas Lim, Monique Jeanblanc-Picqué

Publication date: 23 August 2016

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.7309

zbMATH Keywords

dual problemportfolio optimizationstochastic interest ratepower utilitybackward stochastic differential equations (BSDEs)enlarged filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (2)

Portfolio Choice with Market--Credit-Risk Dependencies ⋮ A robust investment-consumption optimization problem in a switching regime interest rate setting

Cites Work

• Semi-martingales et grossissement d'une filtration
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
• OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
• Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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