lsamvy过程的bsde和日志效用最大化

IF 0.7 Q3 STATISTICS & PROBABILITY

Modern Stochastics-Theory and Applications Pub Date : 2019-12-17 DOI:10.15559/19-VMSTA144

P. D. Tella, H. Engelbert

{"title":"lsamvy过程的bsde和日志效用最大化","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":"{\"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}","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

摘要

在次线性增长Lipschitz生成器的情况下，我们建立了一类特殊的L\'{e}vy过程的BSDEs解的存在唯一性。然后，我们研究了由任意L\ {e}vy过程产生的过滤中终端财富的对数效用最大化的相关问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

BSDEs and log-utility maximization for Lévy processes

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Modern Stochastics-Theory and Applications STATISTICS & PROBABILITY-

CiteScore

1.30

自引率

50.00%

发文量

审稿时长

10 weeks