35 citations · 50 across the 9 of their papers we have counts for
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math.PR2006★ 3 cited
Utility Maximization in a jump market model
Marie-Amelie Morlais
In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a conv…
math.PR2006★ 6 cited
Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem
Marie-Amelie Morlais
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfo…