Geodesic
Utility maximization of the exponential Lévy switching models
Teoriâ veroâtnostej i ee primeneniâ, Tome 69 (2024) no. 1, pp. 161-187 Cet article a éte moissonné depuis la source Math-Net.Ru

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This article is devoted to maximization of HARA (hyperbolic absolute risk aversion) utilities of the exponential Lévy switching processes on a finite time interval via the dual method. The description of all $f$-divergence minimal martingale measures and the expression of their Radon–Nikodým densities involving the Hellinger and Kulback–Leibler processes are given. The optimal strategies in progressively enlarged filtration for the maximization of HARA utilities as well as the values of the corresponding maximal expected utilities are derived. As an example, the Brownian switching model is presented with financial interpretations of the results via the value process.
Keywords: Lévy switching models, utility maximization, dual approach, $f$-divergence minimal martingale measure, optimal strategy. 
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Yu. Dong; L. Vostrikova. Utility maximization of the exponential Lévy switching models. Teoriâ veroâtnostej i ee primeneniâ, Tome 69 (2024) no. 1, pp. 161-187. http://geodesic.mathdoc.fr/item/TVP_2024_69_1_a8/

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