lsamvy过程的bsde和日志效用最大化

IF 0.7 Q3 STATISTICS & PROBABILITY Modern Stochastics-Theory and Applications Pub Date : 2019-12-17 DOI:10.15559/19-VMSTA144

P. D. Tella, H. Engelbert

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引用次数: 0

摘要

在次线性增长Lipschitz生成器的情况下，我们建立了一类特殊的L\'{e}vy过程的BSDEs解的存在唯一性。然后，我们研究了由任意L\ {e}vy过程产生的过滤中终端财富的对数效用最大化的相关问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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BSDEs and log-utility maximization for Lévy processes

In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for L\'{e}vy 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 L\'{e}vy process.

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