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Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consi…
Backward Ornstein-Uhlenbeck transition operators and mild solutions of non-autonomous Hamilton-Jacobi equations in Banach spaces
Rafael Serrano
In this paper we revisit the mild-solution approach to second-order semi-linear PDEs of Hamilton-Jacobi type in infinite-dimensional spaces. We show that a well-known result on exi…
Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
Oscar Lopez, Rafael Serrano
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching)…
A note on space-time Holder regularity of mild solutions to stochastic Cauchy problems in Lp-spaces
Rafael Serrano
This paper revisits the Hölder regularity of mild solutions of parabolic stochastic Cauchy problems in Lebesgue spaces with and $\mathcal{O}\subset\ma…