19,397 research outputs found
Simulation of conditioned diffusions
In this paper, we propose some algorithms for the simulation of the
distribution of certain diffusions conditioned on terminal point. We prove that
the conditional distribution is absolutely continuous with respect to the
distribution of another diffusion which is easy for simulation, and the formula
for the density is given explicitly
Optimal consumption and investment in incomplete markets with general constraints
We study an optimal consumption and investment problem in a possibly
incomplete market with general, not necessarily convex, stochastic constraints.
We give explicit solutions for investors with exponential, logarithmic and
power utility. Our approach is based on martingale methods which rely on recent
results on the existence and uniqueness of solutions to BSDEs with drivers of
quadratic growth
- …