An expected exponential utility maximization problem for Bitcoin miners

In this paper, a revenue process of bitcoin miners is mathematically modeled, and its alternative continuous model is also introduced to have its distribution at a certain time. The equation of the revenue process is similar to risk processes in insurance mathematics, but its mathematical structures are enough different from them. Next, we consider an expected exponential utility maximization problem for miners with investment in the bitcoin market. Then, its optimal investment strategy is explicitly derived, and its verification theorem is proved. Finally, some numerical results are provided to illustrate our model and optimal investment strategy.