Work

Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

Year: 2024

Type: article

Abstract: 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. (Stoch Process Appl 124(5):1813–1848, 2014) and Santacroce and Trivellato (SIAM J Control Optim 52(6):3517–3537, 2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

Source: Applied Mathematics & Optimization

DOI: 10.1007/s00245-024-10114-9

Authors: Marina Santacroce, Paola Siri, Barbara Trivellato

Institutions: Università Cattolica del Sacro Cuore, Politecnico di Torino

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,590

Funders: Università Cattolica del Sacro Cuore, Ministero dell'Università e della Ricerca