Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
| Year of publication: |
2009
|
|---|---|
| Authors: | Morlais, Marie-Amélie |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 1, p. 121-150
|
| Publisher: |
Springer |
| Subject: | Backward stochastic differential equations (BSDEs) | Continuous filtration | Quadratic growth | Utility maximization | Portfolio constraints |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005184362