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BSDEs and log-utility maximization for Lévy processes

Authors :
Paolo Di Tella
Hans-Jürgen Engelbert
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