  In this paper, we consider a financial market with assets exposed to some
risks inducing jumps in the asset prices, and which can still be traded after
default times. We use a default-intensity modeling approach, and address in
this incomplete market context the problem of maximization of expected utility
from terminal wealth for logarithmic, power and exponential utility functions.
We study this problem as a stochastic control problem both under full and
partial information. Our contribution consists in showing that the optimal
strategy can be obtained by a direct approach for the logarithmic utility
function, and the value function for the power utility function can be
determined as the minimal solution of a backward stochastic differential
equation. For the partial information case, we show how the problem can be
divided into two problems: a filtering problem and an optimization problem. We
also study the indifference pricing approach to evaluate the price of a
contingent claim in an incomplete market and the information price for an agent
with insider information.
