A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
| Type of Publication: | Journal article |
| Author: | Kohlmann, Michael; Dewen, Xiong; Siyuan, Li |
| Year of publication: | 2013 |
| Published in: | Stochastic Analysis and Applications ; 31 (2013), 4. - pp. 632-662. - ISSN 0736-2994. - eISSN 1532-9356 |
| DOI (citable link): | https://dx.doi.org/10.1080/07362994.2013.799022 |
| Summary in another language: |
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.
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| MSC Classification: | 90A09; 60H30; 60G44. |
| Subject (DDC): | 510 Mathematics |
| Keywords: | Forward utility field, Itô-Ventzell Formula, Jump markets |
| Bibliography of Konstanz: | Yes |
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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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