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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

Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717

Persistent link: https://www.econbiz.de/10011752489

Contract theory in continuous-time models

Cvitanić, Jakša; Jianfeng Zhang; Zhang, Jianfeng - 2013

Persistent link: https://www.econbiz.de/10009628203

Continuous-time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations

Wang, Ziheng; Sirignano, Justin - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 348-424

Persistent link: https://www.econbiz.de/10014514766

The perturbation method applied to a robust optimization problem with constraint

Luo, Peng; Schied, Alexander; Xue, Xiaole - In: Mathematics and financial economics 18 (2024) 1, pp. 95-112

Persistent link: https://www.econbiz.de/10015045584

Exact numerical algorithms for linear stochastic wave equation and stochastic Klein-Gordon equation

Martin, A. (contributor); Prigarin, Serge M. (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002531658

On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term

Fabbri, Giorgio; Federico, Salvatore - In: Mathematical economics letters 2 (2014) 3/4, pp. 33-43

Persistent link: https://www.econbiz.de/10010496358

Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10011419373

Optimal selling rules for monetary invariant criteria : tracking the maximum of a portfolio with negative drift

Elie, Romuald; Espinosa, Gilles-Eduard - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 754-788

Persistent link: https://www.econbiz.de/10011350516

Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287

Persistent link: https://www.econbiz.de/10011350647