BSDEs and log-utility maximization for Lévy processes

DOI10.15559/19-VMSTA144zbMath1458.60063arXiv1912.09289OpenAlexW3101406950MaRDI QIDQ2178928

Paolo Di Tella, Hans-Jürgen Engelbert

Publication date: 12 May 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.09289

zbMATH Keywords

Lévy processesutility maximizationBSDEspredictable representation property

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Cites Work

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