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arXiv · 2302.08253

Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

Marina Santacroce·Paola Siri·Barbara Trivellato
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Abstract

We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

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Marina Santacroce, Paola Siri, Barbara Trivellato. 2023-02-16. Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models. https://arxiv.org/abs/2302.08253

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