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dc.contributor.authorJiao, Ying
HAL ID: 172285
dc.contributor.authorKharroubi, Idris
dc.contributor.authorPham, Huyen
dc.date.accessioned2011-02-28T11:02:29Z
dc.date.available2011-02-28T11:02:29Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5717
dc.description.abstractfrWe study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional density hypothesis. In this Itô-jump process model, we give a decomposition of the corresponding stochastic control problem into stochastic control problems in the default-free filtration, which are determined in a backward induction. The dynamic programming method leads to a backward recursive system of quadratic Backward Stochastic Differential Equations (BSDEs) in Brownian filtration, and our main result is to prove under fairly general conditions the existence and uniqueness of a solution to this system, which characterizes explicitly the value function and optimal strategies to the optimal investment problem. We illustrate our solutions approach with some numerical tests emphasizing the impact of default intensities, loss or gain at defaults, and correlation between assets. Beyond the financial problem, our decomposition approach provides a new perspective for solving quadratic BSDEs with finite number of jumps.en
dc.language.isoenen
dc.subjectOptimal investmenten
dc.subjectmultiple defaultsen
dc.subjectprogressive enlargement of filtrationsen
dc.subjectdynamic programmingen
dc.subjectquadratic backward stochastic differential equationsen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelG24en
dc.subject.classificationjelD81en
dc.titleOptimal investment under multiple defaults risk: a BSDE-decomposition approachen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire de Probabilités et Modèles Aléatoires (PMA) CNRS : UMR7599 – Université Pierre et Marie Curie - Paris VI – Université Paris-Diderot - Paris VII;France
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages455-491
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/11-AAP829
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00569230/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statistics
dc.subject.ddclabelEconomie financièreen


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