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Spring 2019
This thesis addresses two important topics of deflators and log-utility-related optimal portfolios for markets stopped at a random time T. This random time can model the death time of an agent in life insurance or the default time of a firm in credit risk. For the topic of deflators, the thesis...
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Fall 2016
The aim of my thesis consists of characterizing explicitly the optimal consumption and investment strategy for an investor, when her habit level process is incorporated in the utility formulation. For a continuous-time market model, I maximize the expected utility from terminal wealth and/or...
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Reflected Backward Stochastic Differential Equations for Informational Systems with Applications
DownloadSpring 2022
The core innovation of this thesis lies in studying reflected backward stochastic differential equations (RBSDE hereafter) for informational systems. An informational system is a system where there is discrepancy in the information received by agents over time. In this thesis, we restrict to the...