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.
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models / Santacroce, Marina; Siri, Paola; Trivellato, Barbara. - In: APPLIED MATHEMATICS AND OPTIMIZATION. - ISSN 0095-4616. - ELETTRONICO. - 89:3(2024). [10.1007/s00245-024-10114-9]
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
Siri, Paola;Trivellato, Barbara
2024
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.File | Dimensione | Formato | |
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https://hdl.handle.net/11583/2988256