Some New BSDE Results for an Infinite-HorizonStochastic Control Problem

We study a quadratic BSDE in a continuous filtration with an unbounded generatorand an infinite time horizon. This equation comes from a stochasticcontrol problem in the context of robust utility maximisation.[...]

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Year of publication:	2009-10-25
Authors:	Hu, Ying ; Schweizer, Martin
Institutions:	Finrisk
Subject:	Stochastische optimale Kontrolle \| Nutzenmaximierung \| Differential-Differenzengleichung

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Table of Contents
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0. Introduction
1. Preliminaries and overview
2. The BSDE on a finite horizon
3. The BSDE on an infinite horizon
4. The stochastic control problem on an infinite horizon
5. Solving the stochastic control problem via the BSDE
5.1. The bounded case
5.2. The positive case
5.3. The general case
5.4. Consequences for the stochastic control problem
References

Persistent link: https://www.econbiz.de/10005868537