Optimal investment problems with marked point processes

DOI10.1007/978-3-0348-0021-1_22MaRDI QIDQ2904887zbMATH OpenOpenAlexFDO

Authors Claudia Ceci

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_22

zbMATH Keywords

optimal stochastic controlutility maximizationpure jump processes

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(8)

• On some determinants with Legendre symbol entries
• Utility maximization in a pure jump model with partial observation
• On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion
• Merton's optimal investment problem with jump signals
• Optimal investment in a Lévy market
• Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
• Indifference pricing of pure endowments via BSDEs under partial information
• A BSDE-based approach for the optimal reinsurance problem under partial information

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