Utility maximization in a jump market model

DOI10.1080/17442500802201425zbMath1156.91380arXivmath/0612181MaRDI QIDQ3612251

Marie-Amélie Morlais

Publication date: 3 March 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612181

zbMATH Keywords

utility maximization; stochastic exponential; BMO martingale; backward stochastic differential equations (BSDE) with jumps

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B16: Utility theory

Related Items

Utility indifference valuation for jump risky assets, A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem

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