BSDEs and log-utility maximization for Lévy processes
type: Item
instance of: scholarly article
title: BSDEs and log-utility maximization for Lévy processes
zbMATH Open document ID: 1458.60063
DOI: 10.15559/19-VMSTA144
author: P. Di Tella
author: H.-J. Engelbert
published in: Modern Stochastics. Theory and Applications
publication date: 2020-05-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1912.09289
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G46
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7198980
zbMATH Keywords: Lévy processes
zbMATH Keywords: predictable representation property
zbMATH Keywords: BSDEs
zbMATH Keywords: utility maximization
MaRDI profile type: MaRDI publication profile
arXiv ID: 1912.09289
cites work: Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
cites work: Convex duality in constrained portfolio optimization
cites work: Stochastic Calculus and Applications
cites work: A general version of the fundamental theorem of asset pricing
cites work: The chaotic representation property of compensated-covariation stable families of martingales
cites work: The predictable representation property of compensated-covariation stable families of martingales
cites work: Optimal portfolios for logarithmic utility.
cites work: A complete explicit solution to the log-optimal portfolio problem.
cites work: Q4274285
cites work: Utility maximization in incomplete markets
cites work: Remarks on a characterisation of BMO-martingales
cites work: Calcul stochastique et problèmes de martingales
cites work: Q4778955
cites work: Optimal portfolios for exponential Lévy processes.
cites work: Utility maximization in a jump market model
cites work: A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
cites work: Chaotic and predictable representations for Lévy processes.
cites work: Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
cites work: Pricing via utility maximization and entropy.
cites work: Q3946910
OpenAlex ID: W3101406950
description: scientific article