Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
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. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit f...
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| creator | Santacroce, Marina Siri, Paola Trivellato, Barbara |
| description | 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. (2014) and Santacroce-Trivellato (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. |
| doi_str_mv | 10.48550/arxiv.2302.08253 |
| format | Article |
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terminal net wealth with a final random liability in a simple jump-diffusion
model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (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.</description><identifier>DOI: 10.48550/arxiv.2302.08253</identifier><language>eng</language><subject>Mathematics - Probability ; Quantitative Finance - Mathematical Finance</subject><creationdate>2023-02</creationdate><rights>http://arxiv.org/licenses/nonexclusive-distrib/1.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,776,881</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2302.08253$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2302.08253$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Santacroce, Marina</creatorcontrib><creatorcontrib>Siri, Paola</creatorcontrib><creatorcontrib>Trivellato, Barbara</creatorcontrib><title>Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models</title><description>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. (2014) and Santacroce-Trivellato (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
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terminal net wealth with a final random liability in a simple jump-diffusion
model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (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.</abstract><doi>10.48550/arxiv.2302.08253</doi><oa>free_for_read</oa></addata></record> |
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| subjects | Mathematics - Probability Quantitative Finance - Mathematical Finance |
| title | Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models |
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