Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Utility maximization for Lévy switching models

Abstract : This article is devoted to the maximisation of HARA utilities of Lévy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Leibler processes, the expressions of the optimal strategies in progressively enlarged filtration for the maximisation of HARA utilities as well as the values of the corresponding maximal expected utilities. The example of Brownian switching model is presented to give the financial interpretation of the results.
Complete list of metadatas

Cited literature [30 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01844635
Contributor : Lioudmila Vostrikova <>
Submitted on : Thursday, July 19, 2018 - 3:26:36 PM
Last modification on : Monday, March 9, 2020 - 6:16:00 PM
Document(s) archivé(s) le : Saturday, October 20, 2018 - 5:22:25 PM

Files

Levy_switching_DV_f.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01844635, version 1
  • ARXIV : 1807.08982

Collections

Citation

Lioudmila Vostrikova, Yuchao Dong. Utility maximization for Lévy switching models. 2018. ⟨hal-01844635⟩

Share

Metrics

Record views

58

Files downloads

88