Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging

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dc.creatorBecherer, Dirk
dc.date2007-02-14
dc.date.accessioned2026-07-07T12:11:21Z
dc.date.available2026-07-07T12:11:21Z
dc.descriptionWe prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference valuation and partial hedging in incomplete financial markets which are exposed to risk from unpredictable events. In particular, we characterize the limiting behavior of the utility indifference hedging strategy and of the indifference value process for vanishing risk aversion.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051606000000475 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702405
dc.identifierhttp://arxiv.org/abs/math/0702405
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 4, 2027-2054
dc.identifierdoi:10.1214/105051606000000475
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210194
dc.subjectProbability
dc.subjectComputational Finance
dc.subject60G57, 60H30, 91B28 (Primary) 60H99, 60G44, 60G55 (Secondary)
dc.titleBounded solutions to backward SDE's with jumps for utility optimization and indifference hedging
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