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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Hauptverfasser:	Santacroce, Marina, Siri, Paola, Trivellato, Barbara
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Quantitative Finance - Mathematical Finance
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