UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION
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Publication:5392602
DOI10.1017/S0269964810000239zbMATH Open1209.91188OpenAlexW2071600828MaRDI QIDQ5392602FDOQ5392602
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
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Utility theory (91B16) Financial applications of other theories (91G80)
Cites Work
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Cited In (5)
- 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
- 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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