Forward-backward systems for expected utility maximization

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

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Year of publication:	2011-10-14
Authors:	Horst, Ulrich ; Hu, Ying ; Imkeller, Peter ; Réveillac, Anthony ; Zhang, Jianing
Publisher:	Humboldt University Berlin, Germany
Subject:	Wirtschaft

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Report
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009467123