Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

Marina Santacroce*, Paola Siri, Barbara Trivellato

*Corresponding author

Research output: Contribution to journalArticle

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. (Stoch Process Appl 124(5):1813-1848, 2014) and Santacroce and Trivellato (SIAM J Control Optim 52(6):3517-3537, 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.
Original languageEnglish
Pages (from-to)N/A-N/A
Number of pages22
JournalApplied Mathematics and Optimization
Volume89
DOIs
Publication statusPublished - 2024

Keywords

  • Forward backward stochastic differential systems
  • Utility maximization problem
  • Jump-diffusions

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