Optimal consumption problems in discontinuous markets

DOI10.1080/02331934.2013.857409zbMath1319.91137MaRDI QIDQ5746732

Giorgia Callegaro

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.857409

zbMATH Keywords

optimal consumption; progressive enlargement of filtrations; discontinuous martingale; single-jump process

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

91G40: Credit risk

Related Items

Optimization Methods in Mathematical Finance, Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market, Portfolio optimization in a defaultable Lévy-driven market model

Cites Work

• Optimal investment with counterparty risk: a default-density model approach
• Optimal portfolio for a small investor in a market model with discontinuous prices
• The role of longevity bonds in optimal portfolios
• Optimal investment decisions when time-horizon is uncertain
• What happens after a default: the conditional density approach
• A general version of the fundamental theorem of asset pricing
• Utility maximization with a stochastic clock and an unbounded random endowment
• Hazard rate for credit risk and hedging defaultable contingent claims
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Utility Maximization with Discretionary Stopping
• Carthaginian enlargement of filtrations