Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework
Mathematical Finance
2025-10-06 v5 Optimization and Control
Abstract
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case where the risky asset is given by a Gaussian process (with some additional properties) we establish a solution for the optimal control and the corresponding value. Our approach is purely probabilistic and is based on the theory for Radon-Nikodym derivatives of Gaussian measures developed by Shepp [6] and Hitsuda [5].
Keywords
Cite
@article{arxiv.2311.17270,
title = {Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework},
author = {Yan Dolinsky},
journal= {arXiv preprint arXiv:2311.17270},
year = {2025}
}