TY - JOUR
T1 - Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
AU - Santacroce, Marina
AU - Siri, Paola
AU - Trivellato, Barbara
PY - 2024
Y1 - 2024
N2 - 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.
AB - 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.
KW - Forward backward stochastic differential systems
KW - Utility maximization problem
KW - Jump-diffusions
KW - Forward backward stochastic differential systems
KW - Utility maximization problem
KW - Jump-diffusions
UR - http://hdl.handle.net/10807/297292
UR - https://doi.org/10.1007/s00245-024-10114-9
U2 - 10.1007/s00245-024-10114-9
DO - 10.1007/s00245-024-10114-9
M3 - Article
SN - 0095-4616
VL - 89
SP - N/A-N/A
JO - Applied Mathematics and Optimization
JF - Applied Mathematics and Optimization
ER -