A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
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Publication:2844032
DOI10.1080/07362994.2013.799022zbMath1279.91145OpenAlexW1964069273MaRDI QIDQ2844032
Dewen Xiong, Michael Kohlmann, Li Siyuan
Publication date: 27 August 2013
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2013.799022
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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