Title of article
Forward–backward systems for expected utility maximization
Author/Authors
Horst، نويسنده , , Ulrich and Hu، نويسنده , , Ying and Imkeller، نويسنده , , Peter and Réveillac، نويسنده , , Anthony L. Zhang، نويسنده , , Jianing، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
36
From page
1813
To page
1848
Abstract
In this paper we deal with the utility maximization problem with general utility functions including power utility with liability. We derive a new approach in which we reduce the resulting control problem to the study of a system of fully-coupled Forward–Backward Stochastic Differential Equations (FBSDEs) that promise to be accessible to numerical treatment.
Keywords
stochastic control , Forward–backward stochastic differential equations , Convex duality theory
Journal title
Stochastic Processes and their Applications
Serial Year
2014
Journal title
Stochastic Processes and their Applications
Record number
1579300
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