3 papers
math.PR2025
Measure-Valued CARMA Processes
Fred Espen Benth, Sven Karbach, Asma Khedher
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invarianc…
math.PR2024
Utility maximisation and change of variable formulas for time-changed dynamics
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasin…
math.PR2024
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…