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UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION

Published online by Cambridge University Press:  02 November 2010

Paola Tardelli
Paola Tardelli
Affiliation:
Department of Electrical and Information Engineering, University of L'Aquila, 67100 L'Aquila, Italy E-mail: paola.tardelli@univaq.it
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Abstract

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This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process—a marked point process having common jump times with the risky asset price process. The problem of utility maximization of terminal wealth is dealt with when the underlying event arrivals process is assumed to be unobserved by the market agents using, as the main tool, backward stochastic differential equations. The dual problem is studied. Explicit solutions in a particular case are given.

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 25 , Issue 1 , January 2011, pp. 29 - 54
Copyright
Copyright © Cambridge University Press 2011

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