Optimal investment problems with marked point processes

DOI10.1007/978-3-0348-0021-1_22zbMATH Open1246.91160OpenAlexW196648844MaRDI QIDQ2904887FDOQ2904887

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

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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)

Cited In (8)

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

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