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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Extent:	606208 bytes 30 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper No. 587
Type of publication:	Book / Working Paper
Language:	English
Classification:	C60 - Mathematical Methods and Programming. General ; D80 - Information and Uncertainty. General ; G10 - General Financial Markets. General ; Business administration. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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