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arXiv · 2311.17270

Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework

Yan Dolinsky
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Abstract

In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case where the risky asset is given by a Gaussian process (with some additional properties) we establish a solution for the optimal control and the corresponding value. Our approach is purely probabilistic and is based on the theory for Radon-Nikodym derivatives of Gaussian measures developed by Shepp [6] and Hitsuda [5].

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Yan Dolinsky. 2023-11-28. Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework. https://arxiv.org/abs/2311.17270

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