The purpose of this paper is to present a portfolio optimization problem. Taking into account a defaultable market, the price dynamics are supposed to be driven by some pure jump processes. In order to discuss all these topics, this note faces problems like enlargement of filtrations and stochastic control problems dealt with Backward Stochastic Differential Equations. A converging result for the value function is presented.

Modeling an Incomplete Market with Default

TARDELLI, PAOLA
2012

Abstract

The purpose of this paper is to present a portfolio optimization problem. Taking into account a defaultable market, the price dynamics are supposed to be driven by some pure jump processes. In order to discuss all these topics, this note faces problems like enlargement of filtrations and stochastic control problems dealt with Backward Stochastic Differential Equations. A converging result for the value function is presented.
978-81-925286-4-9
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/43633
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