BSDEs and log-utility maximization for Lévy processes
arXiv:1912.09289 · doi:10.15559/19-VMSTA144
Abstract
In this paper we establish the existence and the uniqueness of the solution of a special class of BSDEs for Lévy 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 Lévy process.
Published at https://doi.org/10.15559/19-VMSTA144 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)