backward stochastic differential equations 1jump processes 1martingale optimality 1multidimensional assets 1numerical illustration 1utility maximization 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.OC2026
Multi-Asset Utility Maximization with Jump Signals
Sigui Brice Dro
The paper studies optimal portfolio selection for multiple risky assets driven by Brownian motion and Poisson jumps, incorporating heterogeneous jump signals, and derives optimal s…
math.OC2026
Portfolio Exponential Utility Maximization with Jump Signals
Lokmane Abbas Turki, Sigui Brice Dro, Idris Kharroubi
In this paper, we study the portfolio utility maximization in the case where the risky asset is driven by a Brownian motion and an independent homogeneous Poisson measure, with str…
math.OC2026
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Sigui Brice Dro, Emmanuel Gnabeyeu
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate th…