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BSDEs and log-utility maximization for Lévy processes
- Source :
- Modern Stochastics: Theory and Applications, Vol 6, Iss 4, Pp 479-494 (2019)
- Publication Year :
- 2019
- Publisher :
- VTeX, 2019.
-
Abstract
- In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy processes in the case of a Lipschitz generator of sublinear growth. We then study a related problem of logarithmic utility maximization of the terminal wealth in the filtration generated by an arbitrary Lévy process.
Details
- Language :
- English
- ISSN :
- 23516046 and 23516054
- Volume :
- 6
- Issue :
- 4
- Database :
- Directory of Open Access Journals
- Journal :
- Modern Stochastics: Theory and Applications
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.614dc6722c14b82a81f75239713626f
- Document Type :
- article
- Full Text :
- https://doi.org/10.15559/19-VMSTA144