Utility maximization in a pure jump model with partial observation
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Publication:5392602
DOI10.1017/S0269964810000239zbMATH Open1209.91188OpenAlexW2071600828MaRDI QIDQ5392602FDOQ5392602
Authors: Paola Tardelli 
Publication date: 13 April 2011
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964810000239
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Cites Work
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- On the Existence of Minimax Martingale Measures
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- Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
- A solution approach to valuation with unhedgeable risks
- A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
Cited In (7)
- On some determinants with Legendre symbol entries
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR
- Risk-neutral measures and pricing for a pure jump price process
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- Partially informed investors: hedging in an incomplete market with default
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes
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