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 problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

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Year of publication:	2011
Authors:	Horst, Ulrich ; Hu, Ying ; Imkeller, Peter ; Réveillac, Anthony ; Zhang, Jianing
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Erwartungsnutzen \| Mathematische Optimierung \| Analysis \| Stochastischer Prozess \| Theorie

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Series:	SFB 649 Discussion Paper ; 2011-061
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	67116967X [GVK] hdl:10419/56735 [Handle] RePEc:zbw:sfb649:sfb649dp2011-061 [RePEc]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D52 - Incomplete Markets ; D53 - Financial Markets
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010286435