UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS

DOI10.1142/S0219024912500409zbMath1262.91066MaRDI QIDQ4649503

Claudia Ceci

Publication date: 22 November 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500409

zbMATH Keywords

backward stochastic differential equations; filtering; jump processes; utility maximization

Mathematics Subject Classification ID

Related Items

Indifference pricing of pure endowments via BSDEs under partial information, RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR, Optimal Investment-consumption for Partially Observed Jump-diffusions, BSDEs under partial information and financial applications, Optimal investment in markets with over and under-reaction to information, Optimal reduction of public debt under partial observation of the economic growth, A BSDE-based approach for the optimal reinsurance problem under partial information, The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness, Nonlinear Filtering for Jump Diffusion Observations

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