On Convergence to the Exponential Utility Problem with Jumps

DOI10.1080/07362990701673146zbMath1132.91478OpenAlexW2093118690MaRDI QIDQ5443470

Christina R. Niethammer

Publication date: 21 February 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701673146

zbMATH Keywords

Lévy processesstochastic dualityexponential utility functionminimal entropy martingale measure\(q\)-optimal martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16)

Related Items

The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model, On \(q\)-optimal martingale measures in exponential Lévy models

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