Utility Maximization in a jump market model

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dc.creatorMorlais, Marie-Amelie
dc.date2006-12-07
dc.date2008-05-08
dc.date.accessioned2026-07-07T12:11:20Z
dc.date.available2026-07-07T12:11:20Z
dc.descriptionIn this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a specific BSDE. We then aim at showing existence and uniqueness results for the introduced BSDE. This allows us to give an explicit expression of the value function and characterize optimal strategies for our problem.
dc.identifierhttps://arxiv.org/abs/math/0612181
dc.identifierhttp://arxiv.org/abs/math/0612181
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210190
dc.subjectProbability
dc.subjectPortfolio Management
dc.subject91B28,60H30
dc.titleUtility Maximization in a jump market model
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