BSDEs and log-utility maximization for Lévy processes
Open Access
- 28 October 2019
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 6 (4), 1-16
- https://doi.org/10.15559/19-vmsta144
Abstract
Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: BSDEs and log-utility maximization for Lévy processes, Authors: Paolo Di Tella, Hans-Jürgen Engelbert , In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy 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 Lévy process.Keywords
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