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A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$-pure jump additive processes and its application to portfolio optimization

Published Online: 2024-08-27

Published Print: 2024-09

Authors

Handa, Masahiro

Sakuma, Noriyoshi https://orcid.org/0000-0001-7309-4106
Suzuki, Ryoichi https://orcid.org/0000-0001-9979-1882
Funding

Funding for this research was provided by:

Japan Society for the Promotion of Science (23K12507, 23K03133, JPJSBP120249936)

Ritsumeikan University
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Text and Data Mining valid from 2024-08-27

Version of Record valid from 2024-08-27
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Article History

Received: 29 May 2024

Accepted: 8 August 2024

First Online: 27 August 2024

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