Forward–backward systems for expected utility maximization

In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment.

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Year of publication:	2014
Authors:	Horst, Ulrich ; Hu, Ying ; Imkeller, Peter ; Réveillac, Anthony ; Zhang, Jianing
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 5, p. 1813-1848
Publisher:	Elsevier
Subject:	Forward–backward stochastic differential equations \| Stochastic control \| Convex duality theory

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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