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Existence and non-uniqueness of solutions for BSDE
Bao, Xiaobo; Delbaen, Freddy; Hu, Ying - In: Contemporary quantitative finance : essays in honour of …, (pp. 123-134). 2010
Persistent link: https://www.econbiz.de/10008749294
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Forward-backward systems for expected utility maximization
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, … - 2011
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).
Persistent link: https://www.econbiz.de/10009349307
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Some new BSDE results for an infinite-horizon stochastic control problem
Hu, Ying; Schweizer, Martin - In: Advanced mathematical methods for finance, (pp. 367-395). 2011
Persistent link: https://www.econbiz.de/10008991281
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Forward-backward systems for expected utility maximization
Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, … - 2011
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).
Persistent link: https://www.econbiz.de/10010286435
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Harmonic analysis of stochastic equations and backward stochastic differential equations
Delbaen, Freddy; Tang, Shanjian - In: Probability theory and related fields : continuation of … 146 (2010) 1/2, pp. 291-336
Persistent link: https://www.econbiz.de/10003933919