{"title":"BSDEs and log-utility maximization for Lévy processes","authors":"P. D. Tella, H. Engelbert","doi":"10.15559/19-VMSTA144","DOIUrl":null,"url":null,"abstract":"In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\\'{e}vy 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 L\\'{e}vy process.","PeriodicalId":42685,"journal":{"name":"Modern Stochastics-Theory and Applications","volume":"9 1","pages":""},"PeriodicalIF":0.7000,"publicationDate":"2019-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Modern Stochastics-Theory and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15559/19-VMSTA144","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\'{e}vy 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 L\'{e}vy process.