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Utility Maximization in a jump market model

Abstract : In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a specific BSDE. We then aim at showing existence and uniqueness results for the introduced BSDE. This allows us to give an explicit expression of the value function and characterize optimal strategies for our problem.
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https://hal.archives-ouvertes.fr/hal-01835198
Contributor : Marie Amelie Morlais Connect in order to contact the contributor
Submitted on : Wednesday, July 11, 2018 - 11:30:24 AM
Last modification on : Tuesday, November 19, 2019 - 11:50:02 AM
Long-term archiving on: : Friday, October 12, 2018 - 7:07:03 PM

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Marie Amélie Morlais. Utility Maximization in a jump market model. 2018. ⟨hal-01835198⟩

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