The purpose of this expository article is to present a self-contained overview of some results on the characterization of the optimal value function of a stochastic target problem as (discontinuous) viscosity solution of a certain dynamic programming PDE and its application to the problem of...

El objetivo de este documento es recopilar algunos resultados clásicos sobre existencia y unicidad de soluciones de ecuaciones diferenciales estocásticas (EDEs) con condición final (en inglés Backward stochastic differential equations) con particular énfasis en el caso de coeficientes...

We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form...

We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth in a pure-jump model driven by (multivariate) marked point processes and in presence of margin requirements such as different...