Utility maximization in a jump market model

DOI10.1080/17442500802201425zbMath1156.91380arXivmath/0612181OpenAlexW2028497917MaRDI QIDQ3612251

Marie-Amélie Morlais

Publication date: 3 March 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612181

zbMATH Keywords

utility maximizationstochastic exponentialBMO martingalebackward stochastic differential equations (BSDE) with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16)

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