跳跃扩散模型中效用最大化的正反向SDEs系统

arXiv (Cornell University) Pub Date : 2023-02-16 DOI:10.48550/arxiv.2302.08253

Santacroce, Marina, Siri, Paola, Trivellato, Barbara

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引用次数: 0

摘要

在一个简单的跳跃-扩散模型中，考虑具有最终随机负债的终端净财富期望效用最大化的经典问题。在Horst et al.(2014)和Santacroce-Trivellato(2014)的精神中，在合适的条件下，最优策略以正向倒向方程组的隐式形式表示。对纯跳跃模型和指数效用给出了一些明确的结果。

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Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

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arXiv (Cornell University)

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