We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (Stoch Process Appl 124(5):1813-1848, 2014) and Santacroce and Trivellato (SIAM J Control Optim 52(6):3517-3537, 2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.
Santacroce, M., Siri, P., Trivellato, B., Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models, <<APPLIED MATHEMATICS AND OPTIMIZATION>>, 2024; 89 (3): N/A-N/A. [doi:10.1007/s00245-024-10114-9] [https://hdl.handle.net/10807/297292]
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
Santacroce, Marina
;
2024
Abstract
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (Stoch Process Appl 124(5):1813-1848, 2014) and Santacroce and Trivellato (SIAM J Control Optim 52(6):3517-3537, 2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.File | Dimensione | Formato | |
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