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Comparison principle approach to utility maximization

Peter ImkellerVictor Nzengang — 2015

Banach Center Publications

We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.

Metastable behaviour of small noise Lévy-Driven diffusions

Peter ImkellerIlya Pavlyukevich — 2008

ESAIM: Probability and Statistics

We consider a dynamical system in driven by a vector field -, where is a multi-well potential satisfying some regularity conditions. We perturb this dynamical system by a Lévy noise of small intensity and such that the heaviest tail of its Lévy measure is regularly varying. We show that the perturbed dynamical system exhibits metastable behaviour on a proper time scale it reminds of a Markov jump process taking values in the local minima of the potential . Due to the heavy-tail nature of the...

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