Exponential Utility Maximization in a Continuous Time Gaussian Framework

Yan Dolinsky

Papers from arXiv.org

Abstract: In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case where the risky asset is given by a Gaussian process (with some additional properties) we establish a solution for the optimal control and the corresponding value. Our approach is purely probabilistic and is based on the theory for Radon-Nikodym derivatives of Gaussian measures developed by Shepp \cite{S:66}, Hitsuda \cite{H:68} and received a new and unifying angle in [2].

Date: 2023-11, Revised 2025-05
New Economics Papers: this item is included in nep-rmg and nep-upt
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