On Convergence to the Exponential Utility Problem with Jumps

DOI10.1080/07362990701673146zbMath1132.91478MaRDI 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 processes; stochastic duality; exponential utility function; minimal entropy martingale measure; \(q\)-optimal martingale measure

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B16: Utility theory

Related Items

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

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