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Search: subject:"utility maximization problem"
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Backward stochastic differential equation
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Bellman's principle
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Comparison principle
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Dynamic programming
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Dynamic programming principle
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Dynamische Optimierung
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Eigeninteresse
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Exponential utility maximization problem
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exponential utility maximization problem
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incomplete markets
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sufficient filtration
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Mania, Michael
3
Santacroce, Marina
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Lazgham, Mourad
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Tevzadze, Revaz
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International Centre for Economic Research (ICER)
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ICER Working Papers - Applied Mathematics Series
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RePEc
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ECONIS (ZBW)
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Regularity properties in a state-constrained expected
utility
maximization
problem
Lazgham, Mourad
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
Saved in:
2
Exponential utility maximization under partial information
Mania, Michael
;
Santacroce, Marina
- In:
Finance and Stochastics
14
(
2010
)
3
,
pp. 419-448
Persistent link: https://www.econbiz.de/10008456137
Saved in:
3
Exponential Utility Maximization under Partial Information
Mania, Michael
;
Santacroce, Marina
-
International Centre for Economic Research (ICER)
-
2008
We consider the exponential
utility
maximization
problem
under partial information. The underlying asset price process …
Persistent link: https://www.econbiz.de/10004972508
Saved in:
4
Backward Stochastic PDEs Related to the
Utility
Maximization
Problem
Mania, Michael
;
Tevzadze, Revaz
-
International Centre for Economic Research (ICER)
-
2008
We study
utility
maximization
problem
for general utility functions using dynamic programming approach. We consider an …
Persistent link: https://www.econbiz.de/10004972513
Saved in:
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