Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
Mathematical Finance
2023-02-17 v1 Probability
Abstract
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.
Cite
@article{arxiv.2302.08253,
title = {Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models},
author = {Marina Santacroce and Paola Siri and Barbara Trivellato},
journal= {arXiv preprint arXiv:2302.08253},
year = {2023}
}