Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes

DOI10.1137/S0040585X97T987983zbMath1358.91097arXiv1509.02727OpenAlexW3122571536WikidataQ115525477 ScholiaQ115525477MaRDI QIDQ2967983

Lioudmila Vostrikova

Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02727

zbMATH Keywords

entropyKullback-Leibler informationutility maximizationdual approachexponential Lévy modelinformation processes\(f\)-divergence minimal martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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