2 papers
math.PR2019
BSDEs and log-utility maximization for Lévy processes
Paolo Di Tella, Hans-Jürgen Engelbert
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.…
math.PR2019
On the Minimal Entropy Martingale Measure for Lévy Processes
Andrii Andrusiv, Hans-Jürgen Engelbert
In the present paper, a new and simple approach is provided for proving rigorously that for general Lévy financial markets the minimal entropy martingale measure and the Esscher ma…