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A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market

A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market

Publikationstyp: Zeitschriftenartikel
Autor/innen: Kohlmann, Michael; Dewen, Xiong; Siyuan, Li
Erscheinungsjahr: 2013
Erschienen in: Stochastic Analysis and Applications ; 31 (2013), 4. - S. 632-662. - ISSN 0736-2994. - eISSN 1532-9356
DOI (zitierfähiger Link): https://dx.doi.org/10.1080/07362994.2013.799022
Zusammenfassung in einer weiteren Sprache:
Our main topic is the forward utility field, which is quite a new concept introduced by Musiela and Zariphopoulou. Different from most articles in this field discussing forward utility in a continuous market, we extend this concept to jump market case. We first provide a generalized Itô- Ventzell formula, which can be applied in a general jump semimartingale driven by Brownian motion and Poisson random measure. Three special forward utility models are discussed by exploiting this generalized Itô-Ventzell formula.
MSC-Klassifikation: 90A09; 60H30; 60G44.
Fachgebiet (DDC): 510 Mathematik
Schlagwörter: Forward utility field, Itô-Ventzell Formula, Jump markets
Universitätsbibliographie: Ja

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KOHLMANN, Michael, Xiong DEWEN, Li SIYUAN, 2013. A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market. In: Stochastic Analysis and Applications. 31(4), pp. 632-662. ISSN 0736-2994. eISSN 1532-9356. Available under: doi: 10.1080/07362994.2013.799022

@article{Kohlmann2013Gener-23718, title={A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market}, year={2013}, doi={10.1080/07362994.2013.799022}, number={4}, volume={31}, issn={0736-2994}, journal={Stochastic Analysis and Applications}, pages={632--662}, author={Kohlmann, Michael and Dewen, Xiong and Siyuan, Li} }

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