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Utility maximization for Lévy switching models

Lioudmila Vostrikova () and Yuchao Dong
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Lioudmila Vostrikova: LAREMA - Laboratoire Angevin de Recherche en Mathématiques - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article is devoted to the maximisation of HARA utilities of Lévy switching process on finite time interval via dual method. We give the description of all f-divergence minimal martingale measures in initially enlarged filtration, the expression of their Radon-Nikodym densities involving Hellinger and Kulback-Leibler processes, the expressions of the optimal strategies in progressively enlarged filtration for the maximisation of HARA utilities as well as the values of the corresponding maximal expected utilities. The example of Brownian switching model is presented to give the financial interpretation of the results.

Keywords: Lévy switching models; utility maximisation; dual approach; f-divergence minimal martingale measure; optimal strategy (search for similar items in EconPapers)
Date: 2018-07-19
New Economics Papers: this item is included in nep-upt
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01844635
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