Consumption optimization for recursive utility in a jump-diffusion model
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Publication:524899
DOI10.1007/S10203-016-0177-1zbMATH Open1398.91269OpenAlexW2498882224MaRDI QIDQ524899FDOQ524899
Authors: Fabio Antonelli, Carlo Mancini 
Publication date: 27 April 2017
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-016-0177-1
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Cites Work
- Financial Modelling with Jump Processes
- Backward-forward stochastic differential equations
- Optimal consumption and portfolio selection with stochastic differential utility
- Stochastic Differential Utility
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- Solution of forward-backward stochastic differential equations
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
- Efficient consumption set under recursive utility and unknown beliefs.
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