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 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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2019-10-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/19-VMSTA144 |