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arXiv · 1912.09289

BSDEs and log-utility maximization for L\'{e}vy processes

Paolo Di Tella·Hans-Jürgen Engelbert
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Abstract

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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Paolo Di Tella, Hans-Jürgen Engelbert. 2019-12-17. BSDEs and log-utility maximization for L\'{e}vy processes. https://doi.org/10.15559/19-vmsta144

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