Analysis of incomplete stock market with jump-diffusion uncertainty
type: Item
instance of: scholarly article
title: Analysis of incomplete stock market with jump-diffusion uncertainty
zbMATH Open document ID: 1071.91016
author: Xiuli Chao
author: Indrajit Bardhan
published in: Journal of Systems Science and Complexity
publication date: 2002-01-01T00:00:00Z
review text: This paper studies an incomplete stock market that includes discontinuous prices processes. The discontinuity is modelled by very general point processes admitting only stochastic intensities. Prices are driven by a jump-diffusion uncertainty and have random but predictable jumps. The space of risk-neutral measures that are associated with the market is identified and related to fictitious completions. The construction of replicating portfolios is discussed, and convex duality methods are used to prove the existence of an optimal consumption and investment policies for a problem of the utility maximization.
reviewed by: Xianping Guo
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 1895573
zbMATH Keywords: stochastic intensity
zbMATH Keywords: risk-neutral measure
zbMATH Keywords: change of measure
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1895573