Equilibrium in Complete Market with Jump-Diffusion Processes
This paper establishes the existence of a solution to the optimization problem. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behaviour model of the stock pricing process is jump-diffusion driven by a count process. We give a characte...
Gespeichert in:
| Veröffentlicht in: | Journal of physics. Conference series 2022-06, Vol.2287 (1), p.12021 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | 1 |
| container_start_page | 12021 |
| container_title | Journal of physics. Conference series |
| container_volume | 2287 |
| creator | Yang, Yunfeng Wang, Zini |
| description | This paper establishes the existence of a solution to the optimization problem. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behaviour model of the stock pricing process is jump-diffusion driven by a count process. We give a characterization of the optimal portfolio by means of the value function and the equivalent martingale measure defined by the utility function. The unique equivalent martingale measure, the unique optimal consumption and portfolio pair and the corresponding wealth process are deduced. We provide a simple characterization of an equilibrium market and discuss existence and uniqueness of equilibrium in the economy. |
| doi_str_mv | 10.1088/1742-6596/2287/1/012021 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_iop_j</sourceid><recordid>TN_cdi_proquest_journals_2684604736</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2684604736</sourcerecordid><originalsourceid>FETCH-LOGICAL-c2741-5629eb846dea0397df5201469fe09df347ca500fb1323717f77ae4a9e2a0a6893</originalsourceid><addsrcrecordid>eNqFkFtLw0AQhRdRsFZ_gwHfhJi9ZS_gi8RWLRUL6vOyTXdxa9NNdxPEf29CpCIIzssMzDlnmA-AcwSvEBQiQ5zilOWSZRgLnqEMIgwxOgCj_eZwPwtxDE5iXENIuuIjcD3ZtW7jlsG1VeK2SeGremMakzzq8G6a5MM1b8msrer01lnbRue3ySL40sRo4ik4snoTzdl3H4PX6eSluE_nT3cPxc08LTGnKM0ZlmYpKFsZDYnkK5tjiCiT1kC5soTyUucQ2iUimHDELefaUC0N1lAzIckYXAy5dfC71sRGrX0btt1JhVmXCyknrFPxQVUGH2MwVtXBVTp8KgRVj0r1EFQPRPWoFFIDqs5JBqfz9U_0_67LP1yzRfH8W6jq7scvSSZ3Iw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2684604736</pqid></control><display><type>article</type><title>Equilibrium in Complete Market with Jump-Diffusion Processes</title><source>Full-Text Journals in Chemistry (Open access)</source><source>Institute of Physics IOPscience extra</source><source>IOP Publishing</source><source>Alma/SFX Local Collection</source><source>EZB Electronic Journals Library</source><creator>Yang, Yunfeng ; Wang, Zini</creator><creatorcontrib>Yang, Yunfeng ; Wang, Zini</creatorcontrib><description>This paper establishes the existence of a solution to the optimization problem. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behaviour model of the stock pricing process is jump-diffusion driven by a count process. We give a characterization of the optimal portfolio by means of the value function and the equivalent martingale measure defined by the utility function. The unique equivalent martingale measure, the unique optimal consumption and portfolio pair and the corresponding wealth process are deduced. We provide a simple characterization of an equilibrium market and discuss existence and uniqueness of equilibrium in the economy.</description><identifier>ISSN: 1742-6588</identifier><identifier>EISSN: 1742-6596</identifier><identifier>DOI: 10.1088/1742-6596/2287/1/012021</identifier><language>eng</language><publisher>Bristol: IOP Publishing</publisher><subject>counting process ; discount rate ; dividend ; equilibrium ; Equivalence ; jump-diffusion process ; Martingales ; Optimization ; Physics ; Uniqueness</subject><ispartof>Journal of physics. Conference series, 2022-06, Vol.2287 (1), p.12021</ispartof><rights>Published under licence by IOP Publishing Ltd</rights><rights>Published under licence by IOP Publishing Ltd. This work is published under http://creativecommons.org/licenses/by/3.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c2741-5629eb846dea0397df5201469fe09df347ca500fb1323717f77ae4a9e2a0a6893</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://iopscience.iop.org/article/10.1088/1742-6596/2287/1/012021/pdf$$EPDF$$P50$$Giop$$Hfree_for_read</linktopdf><link.rule.ids>314,780,784,27923,27924,38867,38889,53839,53866</link.rule.ids></links><search><creatorcontrib>Yang, Yunfeng</creatorcontrib><creatorcontrib>Wang, Zini</creatorcontrib><title>Equilibrium in Complete Market with Jump-Diffusion Processes</title><title>Journal of physics. Conference series</title><addtitle>J. Phys.: Conf. Ser</addtitle><description>This paper establishes the existence of a solution to the optimization problem. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behaviour model of the stock pricing process is jump-diffusion driven by a count process. We give a characterization of the optimal portfolio by means of the value function and the equivalent martingale measure defined by the utility function. The unique equivalent martingale measure, the unique optimal consumption and portfolio pair and the corresponding wealth process are deduced. We provide a simple characterization of an equilibrium market and discuss existence and uniqueness of equilibrium in the economy.</description><subject>counting process</subject><subject>discount rate</subject><subject>dividend</subject><subject>equilibrium</subject><subject>Equivalence</subject><subject>jump-diffusion process</subject><subject>Martingales</subject><subject>Optimization</subject><subject>Physics</subject><subject>Uniqueness</subject><issn>1742-6588</issn><issn>1742-6596</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2022</creationdate><recordtype>article</recordtype><sourceid>O3W</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNqFkFtLw0AQhRdRsFZ_gwHfhJi9ZS_gi8RWLRUL6vOyTXdxa9NNdxPEf29CpCIIzssMzDlnmA-AcwSvEBQiQ5zilOWSZRgLnqEMIgwxOgCj_eZwPwtxDE5iXENIuuIjcD3ZtW7jlsG1VeK2SeGremMakzzq8G6a5MM1b8msrer01lnbRue3ySL40sRo4ik4snoTzdl3H4PX6eSluE_nT3cPxc08LTGnKM0ZlmYpKFsZDYnkK5tjiCiT1kC5soTyUucQ2iUimHDELefaUC0N1lAzIckYXAy5dfC71sRGrX0btt1JhVmXCyknrFPxQVUGH2MwVtXBVTp8KgRVj0r1EFQPRPWoFFIDqs5JBqfz9U_0_67LP1yzRfH8W6jq7scvSSZ3Iw</recordid><startdate>20220601</startdate><enddate>20220601</enddate><creator>Yang, Yunfeng</creator><creator>Wang, Zini</creator><general>IOP Publishing</general><scope>O3W</scope><scope>TSCCA</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8FD</scope><scope>8FE</scope><scope>8FG</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ARAPS</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>H8D</scope><scope>HCIFZ</scope><scope>L7M</scope><scope>P5Z</scope><scope>P62</scope><scope>PIMPY</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope></search><sort><creationdate>20220601</creationdate><title>Equilibrium in Complete Market with Jump-Diffusion Processes</title><author>Yang, Yunfeng ; Wang, Zini</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c2741-5629eb846dea0397df5201469fe09df347ca500fb1323717f77ae4a9e2a0a6893</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2022</creationdate><topic>counting process</topic><topic>discount rate</topic><topic>dividend</topic><topic>equilibrium</topic><topic>Equivalence</topic><topic>jump-diffusion process</topic><topic>Martingales</topic><topic>Optimization</topic><topic>Physics</topic><topic>Uniqueness</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Yang, Yunfeng</creatorcontrib><creatorcontrib>Wang, Zini</creatorcontrib><collection>IOP Publishing</collection><collection>IOPscience (Open Access)</collection><collection>CrossRef</collection><collection>Technology Research Database</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Advanced Technologies & Aerospace Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>Aerospace Database</collection><collection>SciTech Premium Collection</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Advanced Technologies & Aerospace Database</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><jtitle>Journal of physics. Conference series</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Yang, Yunfeng</au><au>Wang, Zini</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Equilibrium in Complete Market with Jump-Diffusion Processes</atitle><jtitle>Journal of physics. Conference series</jtitle><addtitle>J. Phys.: Conf. Ser</addtitle><date>2022-06-01</date><risdate>2022</risdate><volume>2287</volume><issue>1</issue><spage>12021</spage><pages>12021-</pages><issn>1742-6588</issn><eissn>1742-6596</eissn><abstract>This paper establishes the existence of a solution to the optimization problem. Supposing that risk assets pay continuous dividend regarded as the function of time. It is established that the behaviour model of the stock pricing process is jump-diffusion driven by a count process. We give a characterization of the optimal portfolio by means of the value function and the equivalent martingale measure defined by the utility function. The unique equivalent martingale measure, the unique optimal consumption and portfolio pair and the corresponding wealth process are deduced. We provide a simple characterization of an equilibrium market and discuss existence and uniqueness of equilibrium in the economy.</abstract><cop>Bristol</cop><pub>IOP Publishing</pub><doi>10.1088/1742-6596/2287/1/012021</doi><tpages>6</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1742-6588 |
| ispartof | Journal of physics. Conference series, 2022-06, Vol.2287 (1), p.12021 |
| issn | 1742-6588 1742-6596 |
| language | eng |
| recordid | cdi_proquest_journals_2684604736 |
| source | Full-Text Journals in Chemistry (Open access); Institute of Physics IOPscience extra; IOP Publishing; Alma/SFX Local Collection; EZB Electronic Journals Library |
| subjects | counting process discount rate dividend equilibrium Equivalence jump-diffusion process Martingales Optimization Physics Uniqueness |
| title | Equilibrium in Complete Market with Jump-Diffusion Processes |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-10T15%3A59%3A26IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_iop_j&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Equilibrium%20in%20Complete%20Market%20with%20Jump-Diffusion%20Processes&rft.jtitle=Journal%20of%20physics.%20Conference%20series&rft.au=Yang,%20Yunfeng&rft.date=2022-06-01&rft.volume=2287&rft.issue=1&rft.spage=12021&rft.pages=12021-&rft.issn=1742-6588&rft.eissn=1742-6596&rft_id=info:doi/10.1088/1742-6596/2287/1/012021&rft_dat=%3Cproquest_iop_j%3E2684604736%3C/proquest_iop_j%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2684604736&rft_id=info:pmid/&rfr_iscdi=true |