Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
Becherer, Dirk
Ann. Appl. Probab., Tome 16 (2006) no. 1, p. 2027-2054 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference valuation and partial hedging in incomplete financial markets which are exposed to risk from unpredictable events. In particular, we characterize the limiting behavior of the utility indifference hedging strategy and of the indifference value process for vanishing risk aversion.
Publié le : 2006-11-14
Classification:  Backward stochastic differential equations,  random measures,  utility optimization,  dynamic indifference valuation,  incomplete markets,  hedging,  entropy,  60G57,  60H30,  91B28,  60H99,  60G44,  60G55 
@article{1169065215,
     author = {Becherer, Dirk},
     title = {Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging},
     journal = {Ann. Appl. Probab.},
     volume = {16},
     number = {1},
     year = {2006},
     pages = { 2027-2054},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1169065215}
}

Becherer, Dirk. Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp.  2027-2054. http://gdmltest.u-ga.fr/item/1169065215/