DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE

DOI10.1142/S0219024922500042zbMath1484.91459OpenAlexW4205152509MaRDI QIDQ5066295

Mohamed Mrad, Anis Matoussi

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500042

zbMATH Keywords

dualityportfolio optimizationstochastic flowsperformance criteriastochastic characteristics methodstochastic PDE with jumpsforward utilityconsistent utilityhorizon-unbiased utilityprogressive utility

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Utility theory (91B16) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Financial markets (91G15)

Related Items (3)

Solving some stochastic partial differential equations driven by Lévy noise using two SDEs* ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows

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