A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market

DOI10.1080/07362994.2013.799022zbMath1279.91145MaRDI QIDQ2844032

Dewen Xiong, Michael Kohlmann, Li Siyuan

Publication date: 27 August 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.799022

zbMATH Keywords

Itō-Ventzell formula; forward utility field; jump markets

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G10: Portfolio theory

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