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).

This thesis elaborates on the wealth maximization problem of a small investor who invests in a financial market. Key tools for our studies come across in the form of several classes of BSDEs with particular non-linearities, casting them outside the standard class of Lipschitz continuous BSDEs....

In this article, we analyze the stochastic behavior of crude oil spot prices. We first compared the performance of several probability distributions in fitting crude oil price data, and the results show that the skewed-t distribution performs best in fitting tails than other heavy-tailed...