BSDEs and log-utility maximization for L\'{e}vy processes
Probability
2019-12-20 v1
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.
Cite
@article{arxiv.1912.09289,
title = {BSDEs and log-utility maximization for L\'{e}vy processes},
author = {Paolo Di Tella and Hans-Jürgen Engelbert},
journal= {arXiv preprint arXiv:1912.09289},
year = {2019}
}
Comments
Published at https://doi.org/10.15559/19-VMSTA144 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)