Utility maximization in incomplete markets for unbounded processes
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Applications of functional analysis in probability theory and statistics (46N30) Portfolio theory (91G10) Generalizations of martingales (60G48) Utility theory (91B16) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15)
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- Constrained nonsmooth utility maximization on the positive real line
- The supermartingale property of the optimal wealth process for general semimartingales
- Extending pricing rules with general risk functions
- Utility maximization in incomplete markets
- Some functional analytic tools for utility maximization
- Systemic optimal risk transfer equilibrium
- An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Stochastic control methods: Hedging in a market described by pure jump processes
- Wealth-path dependent utility maximization in incomplete markets
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Aspects concerning entropy and utility
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- On utility maximization without passing by the dual problem
- Utility maximization under risk constraints and incomplete information for a market with a change point
- Risk-neutral measures and pricing for a pure jump price process
- Recursive utility, martingales, and the asymptotic behaviour of optimal processes
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Indifference price with general semimartingales
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Skorohod's representation theorem and optimal strategies for markets with frictions
- On the dual problem of utility maximization in incomplete markets
- Indifference pricing under SAHARA utility
- The numeraire portfolio for unbounded semimartingale
- On fairness of systemic risk measures
- Role of information in pricing default-sensitive contingent claims
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Utility maximization in incomplete markets with random endowment
- A unified framework for utility maximization problems: An Orlicz space approach
- Multivariate utility maximization with proportional transaction costs and random endowment
- A dual representation of gain-loss hedging for European claims in discrete time
- Wealth optimization and dual problems for jump stock dynamics with stochastic factor
- Utility maximization under trading constraints with discontinuous utility
- Stability of Radner equilibria with respect to small frictions
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Stability of the exponential utility maximization problem with respect to preferences
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- Financial markets with a large trader
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
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