Utility Maximization in a jump market model

2006/12/07 by Marie-Amélie Morlais, Morlais, Marie-Amelie · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60H30 #91B28 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · doi:10.48550/arxiv.math/0612181

openalex publication_date 2006/12/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In 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.

Citations

• Utility maximization in incomplete markets

Cited by

• Multi-Asset Utility Maximization with Jump Signals

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