UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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Cites work
- scientific article; zbMATH DE number 1478492 (Why is no real title available?)
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Bond Market Structure in the Presence of Marked Point Processes
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Convex duality in constrained portfolio optimization
- Exponential utility maximization under partial information
- Markov Chains
- Mixed control problem under partial observation
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- Optimal portfolio in partially observed stochastic volatility models.
- Optimum consumption and portfolio rules in a continuous-time model
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH
- Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
- Quelques applications de la formule de changement de variables pour les semimartingales
- Risk minimization with incomplete information in a model for high-frequency data
- Risk minimizing hedging for a partially observed high frequency data model
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The opportunity process for optimal consumption and investment with power utility
- Unique characterization of conditional distributions in nonlinear filtering
- Utility indifference valuation for jump risky assets
- Utility maximization in a jump market model
- Utility maximization in incomplete markets
- Utility maximization with convex constraints and partial information
- Wealth optimization and dual problems for jump stock dynamics with stochastic factor
Cited in
(14)- Optimal investment in markets with over and under-reaction to information
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- BSDE with jumps when mean reflection is nonlinear
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- Utility maximization in a pure jump model with partial observation
- Utility maximization under risk constraints and incomplete information for a market with a change point
- BSDEs under partial information and financial applications
- Optimal reduction of public debt under partial observation of the economic growth
- Recursive backward scheme for the solution of a BSDE with a non Lipschitz generator
- Optimal consumption and portfolio for an insider in a market with jumps
- Nonlinear filtering for jump diffusion observations
- 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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