Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

2023/02/16 by Marina Santacroce, Santacroce, Marina, Paola Siri +3
Economics, Econometrics and Finance · #60G07 #60H10 #91G80 #Climate Change Policy and Economics #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2302.08253

openalex publication_date 2023/02/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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. (2014) and Santacroce-Trivellato (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.

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• Progressive enlargement of filtrations and Backward SDEs with jumps