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Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

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  • Marina Santacroce
  • Paola Siri
  • Barbara Trivellato

Abstract

We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion model. In the spirit of Horst et al. (2014) and Santacroce-Trivellato (2014), under suitable conditions the optimal strategy is expressed in implicit form in terms of a forward backward system of equations. Some explicit results are presented for the pure jump model and for exponential utilities.

Suggested Citation

  • Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
    • Handle: RePEc:arx:papers:2302.08253
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    References listed on IDEAS

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