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arXiv · 1807.08982

Utility maximization for L{\'e}vy switching models

Lioudmila Vostrikova·Yuchao Dong
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Abstract

This article is devoted to the maximisation of HARA utilities of L{\'e}vy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Leibler processes, the expressions of the optimal strategies in progressively enlarged filtration for the maximisation of HARA utilities as well as the values of the corresponding maximal expected utilities. The example of Brownian switching model is presented to give the financial interpretation of the results.

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BibTeXRIS

Lioudmila Vostrikova, Yuchao Dong. 2018-07-24. Utility maximization for L{\'e}vy switching models. https://arxiv.org/abs/1807.08982

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