Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers

DOI10.1007/s00186-012-0388-3zbMath1267.91088arXiv1103.5575OpenAlexW3100350691MaRDI QIDQ1935938

Johannes P. Temme

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.5575

zbMATH Keywords

discretizationutility maximizationpower utilityexponential Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

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• Asymptotic properties of power variations of Lévy processes
• The relaxed investor and parameter uncertainty
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

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