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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

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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

@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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